Why are country names not translated
I am not using the German version, but have translated the Norwegian version of the country names. There I also have just copied the English version, and only changed the name of my own country.

One of the cases we use country names most often, is when sending postal mail. Norwegian post men reads Norwegian, but French and German post men don't understand Norwegian country names. They do however understand English country names.

Therefore;
English country names=higher probability for postal mail to reach its destination abroad