I think you are overstating the difficulty of this.
For example, if I go to a service like CIPB (https://www.countryipblocks.net/) and generate a web.config file to block every block assigned to the US, UK, Japan, & China, which combined have a little over 60% of all IPv4 addresses, it's only 13MB as a text file (< 700KB zipped), which implies the entire planet's block list is less than double that size as a web.config text formatted block file (<1.4MB zipped). We can quibble about the details of this crude assessment of storage requirements, but even if it's off by an order of magnitude, clearly the local storage requirements of the IP block list, especially if compressed, should not be an issue.
Keeping the data set of what IP block belongs to what country is a temporal granularity issue. If I were the product manager, I'd suggest providing some automatic free periodic IP block update that Peplink strives to keep less than 90 days out of date (like CIPB does), and either sell a premium subscription with near real time updated data base access (like CIPB does) or cut a revenue sharing deal with someone like CIPB to allow the unit to directly access their services. Real time database access, particularly if the results are locally cached, should be no more onerous than DNS lookups. (Alternatively, the "most up to date" IP block data could be treated much like anti-virus signatures are, and simply have the unit update it's IP-country list once per day. Again, the entire planet's database, compressed, it less than a few MB.)
A lot of people like myself would find this feature useful.