There might be names on your list with no address e.g. a work colleague, or close family member. You can still print their name to a label, but often you would not want to do this. If you just want to print labels where the name has an address, then set the Print Names even if address missing switch to OFF.
It is likely that most of your cards will be within your own country. In this case, it is unlikely that you will want to print the country, as part of the address. If you set the Print Country switch is OFF, then no Countries will get printed (whether it is to someone in your own country or overseas). If The Print Country switch is ON, then overseas addresses will have the Country printed.
If you have checked the Except my Country (as above), then addresses within your own country will not have the Country on the address.