Country Required

The Address field doesn't have sub-field specific requirements. It only supports field label requirement options. So you'd have to make the entire Address field required, in which case it makes the most commonly used fields of that Address field required (Address 1, City, State/Region, Postal Code, Country).

The only other option is to add your own drop down, use the bulk add to pre-populate it with a list of countries and then make it required.

When editing a drop down, radio button or checkbox field underneath the field editor area where you input the options that should appear in that field is a button to bulk add/predefined options. Click that button, a window will appear where you can either copy-paste options, or select from a predefined list of options on the left. This is to easily populate these fields with predefined values, etc.