Create all Countries and Cities ?

I installed without this plugin and I set the default city as Madrid, Spain.

I added some places, all of them show in madrid Spain, no matter the postal code or lat and log I enter.

So I installed this addon, but its the same, All places show in Madrid.

If I go to edit a place, there is nothing in the dropdown.

1- Country shows everything, so thats ok.
2- Region just shows the default region.
3- City just shows the default city.

How do I need to configure it so when I enter an address, postal code, latitude and longitude, it fills everything else correctly ?

Because 2 and 3 are not correct.

I don’t have to enter all the cities of the world by hand right ?

Thanks.