I have it working and, at least in my case, the issue is with the handling of available countries and available states as rbaugh describes in this github issue. Essentially, if you leave the right-hand box empty to include all countries (as the CiviCRM note directs), none of the states are loaded. Loading all of the countries into both right-hand boxes works.
Commenting out the foreach loop from lines 293 to 297 in cf-civicrm/includes/class-civicrm-caldera-forms-helper.php allows the fields to work in the form with the available countries right-hand box empty (with the available states empty as well).
My usage is worldwide. I need all the countries so this hack works for me but it looks like the logic around that foreach loop needs some refinement.
Along the way I did some tests.
- It works fine with no default country or state. Only the available countries and available states mattered. (See Justin Freeman's reply above.)
- Since I have only one pair of Country/State fields, the CiviCRM Country field in the State field parameter list has no effect. (See Kevin Cristiano's reply above.)
I'll report what I'm finding on the cf-civicrm github site.