Regarding the error you got, q currently does not autodetect headers, so you'd need to add -H as a flag in order to use the "country" column name. You're absolutely correct on failing-fast here - It's a bug which i'll fix.
In general regarding speed - q supports automatic caching of the CSV files (through the "-C readwrite" flag). Once it's activated, it will write the data into another file (with a .qsql extension), and will use it automatically in further queries in order to speed things considerably.
Effectively, the .qsql files are regular sqlite3 files (with some metadata), and q can be used to query them directly (or any regular sqlite3 file), including the ability to seamlessly join between multiple sqlite3 files.