Dear Harry,
Are your rules very long? VirtueMart has a limit of ~19.000 characters for the configuration of a shipping method (that limit is set in the database structure, so there's really nothing we can do). If all rules for country zones 1, 2 and 3 together exceed this limitation, VM will silently refuse to save the configuration.
What you can do is to create a second shipping method for the rest of the world. That second shipping method will have its own ~19.000 characters of configuration for the rules.
Best regards,
Reinhold