Now we're getting into semantics, but the point is, it says "including", and you can't "include" Finland and Iceland into Scandinavia. That would be like saying "North America (including Brazil and Chile)".
You could, however, say, Scandinavia PLUS Finland and Iceland - but that's not what OP wrote.
If you mean the British Isles (Ireland and the UK) then say the British Isles. UK is not shorthand for British Isles. Clue is in the name: United _Kingdom_ = monarchy, Ireland is a republic.
Looks like a fair solution, but the problem remains with the OP - I'm from Italy, if I see "Western Europe excl. Uk" I tick it, but then I would also need to tick "Southern Europe" ;)