You cannot move jmd files between one library an another. The files make up the database and they are interrelated.
There is a setting under Options->Library and Folders. Click on Manage Library Fields. For each field you will see the option "Store in file tags (When Possible)." This is not checked by default for Country which is why it didn't get stored in the media files themselves.
As for backup, if you don't want to lose stuff, don't dump your library!
MC backs up the library automatically. You can specify the spot under Options->File Location->Library backups. It would be good to point that to a spot where it will get backed up with your media. This will not backup some settings though as they are stored under the registry. There are some threads around here with that information if you need it.