If customers who shop in your store come from the country that you do not list down then there will be a notification for them during checkout that your store does not serve shipping to destination.
Note: “Rest of the World” is default destination, meaning that your store serves shipping to rest of the world besides the country you already put in or to all of the world if you put none of any country. If you only serve shipping for certain countries, it’s better to delete the default and add the country destinations to your shipping service.
After adding the country destination, a new box for that country shipping will automatically be added to your page. Then, you just need to add kind of shipping service and its rate you use to serve delivery to/in that country. (learn how to set shipping rate here)