If you want to check for the existence of a taxonomy, use taxonomy_exists( $taxonomy )
:
<?php
if(taxonomy_exists('country')){
echo 'All courses in' . get_the_term_list($post->ID,'country', ' ', ' ', '' );
}
?>
etc…
Edit
If, instead of checking for the existence of a taxonomy, you want to check if the current post belongs to a taxonomy, use get_the_term_list( $post->ID, $taxonomy )
:
<?php
if( false != get_the_term_list( $post->ID, 'country' ) ) {
echo 'All courses in' . get_the_term_list($post->ID,'country', ' ', ' ', '' );
}
?>