This is the country (eg. UK or US) that a stock trades in. For example, if a stock trades on the London Stock Exchange, then the stock's country would be the UK.
Users can use this field to filter for companies that trade in a specific country. This field may be useful because some brokers only facilitate trading within particular countries. As such, users can use this field to find companies that their brokers can trade. This field may also be useful for users who want to diversify their portfolio holdings beyond a given country. For example, if a user only holds UK stocks, they may want to search for companies that trade overseas, in the US for instance.