> I wondered if perhaps it this only works on some APs?

That is the impression that I get, the country code info is part of the management frames transmitted by the AP, could be unsupported, not configured, or mis-configured. 

grep wpa may6.txt 
May  6 09:04:57 box wpa_supplicant[810]: wlan0: WPS-PBC-ACTIVE 
May  6 09:05:34 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'BELL188'
May  6 09:05:36 box wpa_supplicant[810]: wlan0: Associated with 2c:79:d7:05:5e:0e
May  6 09:05:36 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SUBNET-STATUS-UPDATE status=0
May  6 09:05:36 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=COUNTRY_IE type=COUNTRY alpha2=CA
May  6 09:05:45 box wpa_supplicant[810]: wlan0: CTRL-EVENT-DISCONNECTED bssid=2c:79:d7:05:5e:0e reason=15
May  6 09:05:45 box wpa_supplicant[810]: wlan0: WPA: 4-Way Handshake failed - pre-shared key may be incorrect
May  6 09:05:45 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SSID-TEMP-DISABLED id=0 ssid="BELL188" auth_failures=1 duration=10 reason=WRONG_KEY
May  6 09:05:45 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=CORE type=WORLD
May  6 09:05:45 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=USER type=COUNTRY alpha2=US
May  6 09:06:58 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'BELL188'
May  6 09:07:01 box wpa_supplicant[810]: wlan0: Associated with 2c:79:d7:05:5e:0e
May  6 09:07:01 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SUBNET-STATUS-UPDATE status=0
May  6 09:07:01 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=COUNTRY_IE type=COUNTRY alpha2=CA
May  6 09:07:10 box wpa_supplicant[810]: wlan0: CTRL-EVENT-DISCONNECTED bssid=2c:79:d7:05:5e:0e reason=15
May  6 09:07:10 box wpa_supplicant[810]: wlan0: WPA: 4-Way Handshake failed - pre-shared key may be incorrect
May  6 09:07:10 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SSID-TEMP-DISABLED id=0 ssid="BELL188" auth_failures=1 duration=10 reason=WRONG_KEY
May  6 09:07:10 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=CORE type=WORLD
May  6 09:07:10 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=USER type=COUNTRY alpha2=US
May  6 09:07:32 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'BELL188'
May  6 09:07:35 box wpa_supplicant[810]: wlan0: Associated with 2c:79:d7:05:5e:0e
May  6 09:07:35 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SUBNET-STATUS-UPDATE status=0
May  6 09:07:35 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=COUNTRY_IE type=COUNTRY alpha2=CA
May  6 09:07:44 box wpa_supplicant[810]: wlan0: CTRL-EVENT-DISCONNECTED bssid=2c:79:d7:05:5e:0e reason=15
May  6 09:07:44 box wpa_supplicant[810]: wlan0: WPA: 4-Way Handshake failed - pre-shared key may be incorrect
May  6 09:07:44 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SSID-TEMP-DISABLED id=0 ssid="BELL188" auth_failures=1 duration=10 reason=WRONG_KEY
May  6 09:07:44 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=CORE type=WORLD
May  6 09:07:44 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=USER type=COUNTRY alpha2=US
May  6 09:08:10 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'BELL188'
May  6 09:08:13 box wpa_supplicant[810]: wlan0: Associated with 2c:79:d7:05:5e:0e
May  6 09:08:13 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SUBNET-STATUS-UPDATE status=0
May  6 09:08:13 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=COUNTRY_IE type=COUNTRY alpha2=CA
May  6 09:08:21 box wpa_supplicant[810]: wlan0: CTRL-EVENT-DISCONNECTED bssid=2c:79:d7:05:5e:0e reason=3 locally_generated=1
May  6 09:08:21 box wpa_supplicant[810]: wlan0: WPA: 4-Way Handshake failed - pre-shared key may be incorrect
May  6 09:08:21 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SSID-TEMP-DISABLED id=0 ssid="BELL188" auth_failures=1 duration=10 reason=WRONG_KEY
May  6 09:08:21 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=CORE type=WORLD
May  6 09:08:21 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=USER type=COUNTRY alpha2=US
May  6 09:08:28 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'BELL188'
May  6 09:08:31 box wpa_supplicant[810]: wlan0: CTRL-EVENT-DISCONNECTED bssid=2c:79:d7:05:5e:0e reason=3 locally_generated=1
May  6 09:08:31 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=CORE type=WORLD
May  6 09:08:31 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=USER type=COUNTRY alpha2=US
May  6 09:09:08 box wpa_supplicant[810]: wlan0: Trying to associate with SSID 'SHAW-DB6690'
May  6 09:09:11 box wpa_supplicant[810]: wlan0: Associated with 00:fc:8d:db:66:98
May  6 09:09:11 box wpa_supplicant[810]: wlan0: CTRL-EVENT-SUBNET-STATUS-UPDATE status=0
May  6 09:09:11 box wpa_supplicant[810]: wlan0: CTRL-EVENT-REGDOM-CHANGE init=COUNTRY_IE type=COUNTRY alpha2=US
May  6 09:09:11 box wpa_supplicant[810]: wlan0: WPA: Key negotiation completed with 00:fc:8d:db:66:98 [PTK=CCMP GTK=TKIP]
May  6 09:09:11 box wpa_supplicant[810]: wlan0: CTRL-EVENT-CONNECTED - Connection to 00:fc:8d:db:66:98 completed [id=0 id_str=]


Should be part of the 'beacon' info. https://howiwifi.com/2020/07/13/802-11-frame-types-and-formats/ has a good overview. I discovered this exchange while observing 'on the wire' with wireshark. 

> Am I looking in the wrong place for REGDOM events? Is there another wpa_supplicant instance that's setting things correctly?

It's the right place but wpa_supplicant has to interact with a variety wifi chipsets with varying firmware/drivers in play, would not surprise me if things are not consistent across the board. There also the difference between NetworkManger 'user connections'/'system connections' but that should not matter as NM passes the wifi info to wpa_supplicant directly.