There's nothing wrong with that. A square is very "round" in the sense that it is very close to a circle in terms of shape, compared to all other possible polygons out there.
Regular convex n-gons approach a circle in terms of shape as n increases. A square represents n=4. For any n>4, the polygon will be closer to a circle in terms of shape than a square, no?
ADDED: Right. Thank you for pulling my head out of abstract, regular convexness. IRL FTW. :-)
Square countries are relatively close to being circular compared to the many highly irregular countries out there, not compared to other regular N-gons.