Yeah, there are many countries that are potential problem areas. There's very few that I will flat out say no to, but ironically... one is Mexico. Kind of sad, considering it's 175 miles from here, but wow do they have issues. There are some countries where, if they don't pay the duty or something, you will never see it again. It will definitely not make it back here, that's for sure. Had one like that to Dominica a while back. They wanted a $60 fee for a $120 item. The guy refused it, and it was never seen again. They probably just figure... 'OK, then it comes home with me if you don't want it.'
Also, Australia is the one progressive country that has the 42" postal length limit, which is weird. Even NZ has the 60" limit, as do most progressive countries. But not Australia. Apparently their sorting systems are still designed for the shorter limit.
I basically just force people to take the full insurance on any non progressive locations.
The one place I am very paranoid about is China. I have had numerous requests by these nondescript "LTD" companies in North America, contact me and try to purchase random things that they want to send to China. They will say... "Don't worry about shipping, our people will pick it up from you". I have turned those down, because I was about 95% sure they were collecting products for copying back there.