loadplugin Mail::SpamAssassin::Plugin::RelayCountry
... and restarted spamd.
My messages, however, do not have any additional information that indicates the country the message was relayed through.
I do have IP::Country::Fast installed.
I don't believe the RelayCountry plugin adds anything visible to the message.
It adds the country code to the metadata that gets used as bayes tokens, but I don't think that information gets folded back into the message.
You may want to try pumping a message through spamassassin -tD and look at the debug output. It should show up as a metadata debug for "X-Relay-Countries" if it's working.