Hi Naveeed, thank you for the feedback! At this point of time DHL plugin is only available in selected countries. It is mentioned on the description page:
“Please check, if the required DHL service is available geographically in your sender country as shown here.”
This is why you have received the message advising it is not supporting your location. We apologize for the caused inconvenience for you. The good news is that development team is working on worldwide roll-out for DHL Express, latest by September it should be available in Saudi Arabia!