The Country flat ( and all other first line when importing a list) represents the items that will make up the list. for example here, that would be the column in your source (CSV file) that contains the country names. You have to be specific when mapping. I have never seen Column Header used when importing into a list. I'm not even sure the option should be available (correction??)
Anyway, once you map the column containing the names of the countries ( I assume it's Country Name you mapped to Code) the import should work.
Note: Unlike when importing to a module, you can map the same column in the source (your CSV file for example ) to more than one element in the target list. For example, if you don't have a designated Country Code in the source file then you can map Country Name To Code.
Einas "Give a Man a Fish, and You Feed Him for a Day. Teach a Man To Fish, and You Feed Him for a Lifetime"