For the files I think the include is seen expanded, so you'd need to investigate further down in the included files. Regarding Nginx ModSecurity 3.0: This can be considered experimental. I am not sure if it indeed works with the rules. I think it should, but have not tested it.
Plesk is in the process or creating a general geo IP blocking feature, so maybe, if you want to save some time and it is not too urgent for you, it will be an option to just wait on that feature to be released. It is planned for 2023 and it is already being worked on.