The banner about US and Canada availability is not an error, and it isn't related to the status of the New Identity validation button. That button is disabled because you don't have the Trusted signing Identity Verifier role.
The banner is a non-blocking informational notice that shows for everybody. This info occurs before you've provided any information to tell us if your org is in Canada or the US or the age of organization.
If your org is based in Canada or in the US and has at least three years of verifiable history then somebody in your org with the Trusted Signing Identity Verifier role can request that identity be verified (if that should be you then you'll need to have the role added).
If your org doesn't meet these regional and historical requirements, then the info notice is to let you know that Trusted Signing isn't available to you at this time. We don't want you to spend time and effort requesting an identity validation that will fail.
From the Trusted Signing FAQ:
What if the "New identity validation" button in the Azure portal is inactive?
- If the New identity validation button in the Azure portal is inactive and you can't select it, you don't have the Trusted Signing Identity Verifier role assigned to your account. To assign yourself the role, complete the steps in Assign roles in Trusted Signing.