A bug in magento core it seems but when i reported to magento support they have tried and said that they are not able to reproduce. Even i have attached the screen cast. Please check and put your comments so we can get this fixed. Atlease magento support will accept that there is issue.
Steps to Reproduce.
Magento Admin --> Sales --> Order --> Create New Order --> Create New Customer or Select Customer --> Change Country
Before doing this please Enable fire bug console to see the xmlHttpRequest is going twice.