Try rewriting your query as:
`  g.V().has("country", P.neq(null)).values("country").dedup().order().limit(10)`

Unfortunately this does not seem to remove the warning.

WARN org.janusgraph.graphdb.transaction.StandardJanusGraphTx - Query requires iterating over all vertices [(country <> null)]. For better performance, use indexes

I only followed the instructions in the documentations, verbatim. I hope that's all there is to create the index.