Lots of games actually did have PAL/NTSC country protection built into them. One off the top of my head is The Spy Who Loved Me from Domark.
It checked the beam position of the screen and went into an infinite loop if it wasn't what it expected. (I think it was protected so it wouldn't run on NTSC machines). So it definitely did exist and it crops up in quite a number of games. Pipemania is another one come to think of it. 2 bytes to hack it
Going the other way, Fighter Duel Pro was protected so it only ran on NTSC machines!
As Akira says, some "badly" coded games are non NTSC or non PAL due to silly coding or timing issues aswell. MF Tanks for example just locks up in NTSC mode.