@damnsharp, i think i have the solution you need
i had the same problem - buyer were able to still select countries that i didn't specify rates for
woocommerce -> settings -> general tab
here for 'allowed countries' choose 'specific countries'
that did the trick for me - i've tested only a few times but things seem to look good so far
please do post back: and say if it worked for u
@travellers, i didn't follow ur problem - so not sure if i have it