Hey everyone, just had the same issue. The solution is simply to collapse all the zones. So check the first box of"Africa" and collapse it.
Then the next, etc. Then it is only 6 checkboxes and 12 clicks in total 
Topic summary
Users are unable to find the ‘Rest of World’ option when creating new shipping zones, a feature that previously existed but appears to have been removed.
Core Issue:
- The ‘Rest of World’ selection is missing from the shipping zone creation interface
- Users now face the prospect of manually selecting 200+ individual countries/regions one by one
- Multiple users report encountering this same problem with new sites
Suspected Cause:
- The option may have been removed when the new ‘Markets’ section was introduced
Workaround Solution:
- Collapse all geographic zones (Africa, Asia, etc.) and select them at the continent level
- This reduces the task to checking 6 checkboxes with approximately 12 total clicks
- Significantly faster than selecting individual countries
Status: The discussion remains open with no official explanation for the feature’s removal, but a practical workaround has been identified.