Second, removing the default case is part of my point.
You were writing TypeScript code, not raw JS, and in my improved example the type checker won't let you try to access countryNames["CA"] until "CA" has been added to CountryCode. Once "CA" is added to CountryCode, the type checker won't let you proceed until you've added "CA" to the countryNames. The only situation in which a default case is needed is if you throw an unchecked type assertion into the mix or if you allow implicit any.
With implicit any turned off, this code:
const test = countryNames["CA"]
Gives this error: TS7053: Element implicitly has an 'any' type because expression of type '"CA"' can't be used to index type 'Record<CountryCode, string>'. Property 'CA' does not exist on type 'Record<CountryCode, string>'.