I followed some advice on the Internet, I created /etc/init.d/z-wifi-puppy, with "iw reg set <country>" in it.
Running "iw reg get" will verify the setting, however what I discovered is that it takes up to 8 seconds after running the "set" operation, before "get" reports the correct country code.
So, at bootup, using SNS (Simple Network Setup), rc.sysinit runs /usr/local/simple_network_setup/rc.network ...and the network connection fails.
That's because rc.network scans and cannot see my wireless network. And that it because of that up-to-8-second delay.
So, I put a wait-loop into rc.network.
I also found that /etc/init.d/z-wifi-puppy needed that "z-" prefix. When I had "30-" prefix, it did not work. Something else in /etc/init.d has to run first, but I don't know what. It might be the dbus 'messagbus' script.