Do all family members need to be in the same country to be able to share a family iCloud ?

With reference to Apple documents:

Legal - Apple Media Services - Apple

"All Family members must share the same Home Country."

Share purchases with others in your Family Sharing group on Mac - Apple Support

"To share purchases, family members must be in the same iTunes Store country or region."

Family Sharing is for Apple IDs that have been registered for the same region and/or country, due to the different country-specific content from Apple in other regions.