OK, so first make sure that it isn't just a cosmetic issue as per sk120261. Check Point uses MaxMind for IP Geo-location, so doublecheck on their site as well.
If everything checks out then you still need to keep in mind that updateable objects won't block traffic allowed by implied rules. In order to work around that you can possibly do a rate-limiting SAM rule or use the "classic" geo policies.
For traffic that is not being blocked and you are confident that it is not due to rule order I would say a call to TAC is in order.