I just tested the same product with both Canada and Mexico and it works well. You might consider changing the & sign to be "and", the code for the shipping method names currently replaces the "&" sign with the HTML code for that symbol, which is "&" and it makes the dropdowns look strange.
If your rate is the same to the other countries, you might just make one region with the other countries in it so you can make one set of rules instead of duplicating. Same for Mexico and Canada. Hold the Control button down while clicking several countries on the Region page and you can select several to define as a region.
If you make these changes and have a problem, please provide a specific example to test and we can help you get it right.
Stefan Barlow
Systems Architect
AmeriCommerce