You should use the code from the tutorial instead because it is more recent. I do not think there are any differences, but to better to be certain.
This, however will not correct the strings as you need. To do this add the following to your existing shortcode:
default='Select State or Country' select_all='Show All States/Countries'
That, I think, should fix it. The reason is the code snippet calls the category select directly rather than thru the template which is where the string were customized. Hope that makes sense!
Hope that helps!