Don't use the AddressBlock field on your labels. This only really works for American address formats. Otherwise it is a pain to set up'. It is much better always to use the fields you require. See
http://www.gmayor.com/merge_labels_with_word_2007.htm which covers all you need to know about merging labels.
If you start the merge from Outlook -
http://www.gmayor.com/mailmerge_from_outlook.htm one of the fields that is provided is the mailing address field. This has the country included when different from that in the regional settings and is the logical field to use for labels.