Oh gosh. I found the issue.
In Woocommerce > Settings > General, it is necessary to set the option “Shipping location(s)” to “Ship to all countries”.
If the option is “Disable shipping & shipping calculations”, it will disable the Country/Region field in the checkout page (billing address).
Once the products I sell are digital, I had disabled the shipping calculations.
Now it works fine. Images attached to support other users.
Thanks !