If I have thousands of lists......how to do better?

I suggest going the mod_rewrite path and forget having URL specific metadata. I've nothing more to suggest, sorry.

Bad for SEO.....

That's not possible. Joomla does not allow that. See my comment regarding adding filters to a userlist menu item and subsequent feature ticket.

I've just done an interesting thing: made an override to the .xml file in admin components form folder! So right now the "Link" field is active and I can change it!
So, next I've edited this to this to make appear in the list only users having cb_country=us on their profile...but...that didn't change anything and all users are still here, independent of what they have in cb_country field is that normal or I've missed something?
I thought a change to this link would change the userlist on frontend (by adding filters).

Bad for SEO.....

Then use an SEO extension as I've already explained. You'd only need 1 menu item (or 1 per language if multilingual), 1 userlist, and you'd setup your thousands of dynamic rewrites as needed. sh404SEF (paid) or JoomSEF (free) should be able to handle this fine as they can handle rewrites and metadata.

I've just done an interesting thing: made an override to the .xml file in admin components form folder! So right now the "Link" field is active and I can change it!

You're free to do that just as you're free to modify any line of code in Joomla or CB, but at any time an update can and probably will break your change as it's not supported. I've a feature ticket already to review adding support for filters directly in the menu item, but again that won't be for awhile.

I thought a change to this link would change the userlist on frontend (by adding filters).

It does and my example is only if you actually have a field named "cb_country". Rename it to whatever the field name is for your country field, but what you're trying to do by modifying the menu item is not supported and not tested so I've no clue if that will work.

Then use an SEO extension as I've already explained.

You are convincing me so hard to install it, that I think I’ll give it a try, but as I think , a SEO extension will add some weight to my site, that will be excess to the time load of pages.
And where is the sense of doing so, if you can do the same by creating menu items in which you also have fields to put in metadata + modify the “Link” field (or use htaccess rewriting rule)?

if you actually have a field named "cb_country". Rename it to whatever the field name is for your country field

Well...that’s actually the problem, that my country field has the same name as yours : cb_country.... so maybe this way won’t work?... tomorrow I’ll try to check the value of this link in the database to see if it has changed.
If you have any clues , please, tell me.

Thank you so much for you assistance, as you give me some good ideas and understanding

And where is the sense of doing so, if you can do the same by creating menu items in which you also have fields to put in metadata + modify the “Link” field (or use htaccess rewriting rule)?

You're wanting unique URLs and unique metadata per URL so your only option is menu items or a SEO extension that can rewrite + add metadata otherwise rewrite rule in htaccess would be the easiest approach. You could probably even get away with using 1 menu item, 1 userlist, 1 rewrite rule, and 1 auto action. Your auto action in CB Auto Actions would output and adjust the metadata and since it supports substitutions you should be able to dynamically output whatever metadata you want per country using IF conditions. Either way you've got a good chunk of setup to do regardless of the solution.

Well...that’s actually the problem, that my country field has the same name as yours : cb_country.... so maybe this way won’t work?... tomorrow I’ll try to check the value of this link in the database to see if it has changed.
If you have any clues , please, tell me.

Ensure your cb_country field is searchable on your userlist as all that's doing is setting the search criteria as if a user had done so manually.

Ensure your cb_country field is searchable

It wasn’t, I’ve made it searchable. Also Checked in the userlist, if the search was enabled - it is. But I do not see the searchbutton on the userlist on frontend for some days and don’t remember why it’s gone. (I have 2 test users at this time.) Maybe because of that also it’s not working.

No idea, you'll need to review your field access and userlist settings to ensure its available as search criteria before filtering via GET variables will work.