Firstly, I am only a couple of days into Silverstripe and OOP, having come from a purely procedural background and thrown in the deep end on a project I've been assigned to so please forgive me if I'm overlooking something very basic and/or fundamental. Also in any responses, please assume you are speaking to a 3yr old. Ha.
I have managed to add a drop down labelled "country" to my customer search in the CMS by simply adding :
I know this isn't the solution for your exact problem, but yours is the only thread I could find while looking for a fix to a similar problem and thought it may be handy to post my solution here for anyone who may be looking for the same issue as me.
This is how you would add a blank first entry into a CountryDropdownField in the CMS or model admin of a Silverstripe 2.4 site.