Bad for SEO.....

Then use an SEO extension as I've already explained. You'd only need 1 menu item (or 1 per language if multilingual), 1 userlist, and you'd setup your thousands of dynamic rewrites as needed. sh404SEF (paid) or JoomSEF (free) should be able to handle this fine as they can handle rewrites and metadata.

I've just done an interesting thing: made an override to the .xml file in admin components form folder! So right now the "Link" field is active and I can change it!

You're free to do that just as you're free to modify any line of code in Joomla or CB, but at any time an update can and probably will break your change as it's not supported. I've a feature ticket already to review adding support for filters directly in the menu item, but again that won't be for awhile.

I thought a change to this link would change the userlist on frontend (by adding filters).

It does and my example is only if you actually have a field named "cb_country". Rename it to whatever the field name is for your country field, but what you're trying to do by modifying the menu item is not supported and not tested so I've no clue if that will work.

And where is the sense of doing so, if you can do the same by creating menu items in which you also have fields to put in metadata + modify the “Link” field (or use htaccess rewriting rule)?

You're wanting unique URLs and unique metadata per URL so your only option is menu items or a SEO extension that can rewrite + add metadata otherwise rewrite rule in htaccess would be the easiest approach. You could probably even get away with using 1 menu item, 1 userlist, 1 rewrite rule, and 1 auto action. Your auto action in CB Auto Actions would output and adjust the metadata and since it supports substitutions you should be able to dynamically output whatever metadata you want per country using IF conditions. Either way you've got a good chunk of setup to do regardless of the solution.

Well...that’s actually the problem, that my country field has the same name as yours : cb_country.... so maybe this way won’t work?... tomorrow I’ll try to check the value of this link in the database to see if it has changed.
If you have any clues , please, tell me.

Ensure your cb_country field is searchable on your userlist as all that's doing is setting the search criteria as if a user had done so manually.

No idea, you'll need to review your field access and userlist settings to ensure its available as search criteria before filtering via GET variables will work.