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That feature is probably not tailored/customized for different countries and different laws and regulations in those, but just simply enabled for all (and something you can't set/change, because then it would be an illegal device in countries where laws mandate that sort of notification of recording of calls).
In the UK it is not illegal to record your own phone calls.
The important thing to remember is that if you intend to replay the recording to a 3rd party then you should tell the other person you are calling that they are being recorded.
If you are an employer and you record your employees' calls then you must tell them.
I have no connection with Nokia but would envisage that the beep is a standard feature because the Law pertaining to call recording is not the same everywhere and Nokia do not see sufficient demand to make the beep country-switchable.