I do not understand how you have a setting that you can apply that in turn has no way to lookup or verify the result. That is insane, get this fixed MS.
Azure Active Directory Conditional Access has functionality for “Countries/Regions” – see https://docs.microsoft.com/en-us/azure/active-directory/conditional-access/location-condition
We use AzureAD Conditional Access rules to accomplish this exact thing, it works very well.
This really needs to be addressed.