This is possible in latest version. Follow this article
http://itadminguide.com/fortigate-ip-address-feed/ to configure. You may
also download tool from www.firewallfeed.com to easily
add/remove/view/bulk upload IP address to feed.
I noticed that you were looking for CLI commands but none of the replies
quoted it. Here are the CLI commands to reduce your time creating bunch
of address objects. Create Address Objects for each CountryFG#config
firewall address (address) # edit Ja...