Very strange, after doing docker compose up/down multiple times (as well as upgrading to v2.1.2) it now seems to be working with the default /data folder.
Running sudo docker exec mailcow-logs-app ls -l /app/data I see:
total 72700
-rw-r–r– 1 appuser appuser 11023699 Jan 20 08:15 GeoLite2-ASN.mmdb
-rw-r–r– 1 appuser appuser 63417044 Jan 16 09:35 GeoLite2-City.mmdb
And on incoming emails, I now see the flag and country.