There are many SO questions how to get http headers with javascript, but for some reason they don't show up HTTP_CF_IPCOUNTRY header.
If I try to do with php echo $_SERVER["HTTP_CF_IPCOUNTRY"];
, it works, so CF is working just fine.
Is it possible to get this header with javascript?
Assuming you are talking about client side JavaScript: no, it isn't possible.
The data never even goes near the browser.
For JavaScript to access it, you would need to read it with server side code and then put it in a response back to the browser.