Do I need to define one payroll interface for each of the countries in scope for implementation?

You can start by defining a Payroll Interface for one of the countries in scope and then use the Generate Payroll Connect Interfaces process to convert it into Enterprise level interface. You can also incorporate legislative data supported by Global Payroll Interface into this enterprise level interface. For further details refer: https://docs.oracle.com/en/cloud/saas/human-resources/24a/oapnt/generate-payroll-interfaces-for-payroll-connect-vendors.html#u30237100