Hi Shyam,
If I am not wrong, then you need to have SSO between BO and HANA to have data level security. I believe your data resides in HANA database and BO reports are created on Universe lying on HANA views.
Can you check what user id is being used for connection between BO and HANA. You can check with BO admin for that. He must have used some generic id of HANA for this connection. So when you run report in BO, authorization check at database will happen for this generic id, not your id. That is the reason you can see all country data.
You can make a small test to confirm this. Find out the generic HANA id used for connection between BO and HANA. Then restric access of this id in HANA for only US country and then run BO report with a test id in BO. See what data you can see. If you get only US country data, then this understanding is correct.
Regards.
P.S. I am very new to HANA security. I might be wrong here. So please test first and let me also know if this is working.