In reply to David You.

No, I have never encountered any problems. Be sure you understand how SAS regression procedures use listwise deletion to omit observations where ANY independent variable is missing. That is the most likely cause of your problem. Some things to do:
1. Output only the complete cases and then use PROC FREQ to investigate whether any observations from Country="B" remain.
2. Same as above, but you can do it in one step by using PROC MI.
3. If you can anonymize your data, you can post the data and your question to the SAS Support Communities.