Some online merchants run their transaction as a normal transaction unfortunately. While for a regular online transactions, the list of allowed countries is not used (all countries are always enabled), if the transaction looks like a regular transaction, then the list is used, which is always the same for all cards.
Bunq cannot do anything about what the merchants decide to do. But I think it would be the best solution to just allow all countries for online cards and just keep the country list for the physical cards. That way, as long as you only use your online cards for online transactions, they will also work but you get the added security from only selecting certain countries for your physical cards.
That however, is not how it is implemented right now.