It seems like the hardware driver can stop iw from setting regulation zone. As I have two wlan hardware, one built-in (raspberry pi 4) and the other USB dongle (rtl8192eu), I blacklisted the kernel module (brcmfmac) which was the driver of the built-in wlan and rebooted. With the built-in wlan disabled, now the command works on the USB dongle one:
And then:
shows the country code correctly.