It's true and this is basically a weird inconsistency - but for clarity for anyone coming up against this, don't worry. Put whatever sub-unit within the UK that you want (or that is most appropriate).
For brief explanation: there are standard 'computer lists' that are used for these things. Sometimes they don't match well with what is intended by the form - or sometimes the forms themselves have the concepts wrong (depending on your point of view).
Note, for example, the citizenship question on the PR application (IMM0008) has fully four different entries for the UK (because you can be a full-on 'british citizen', or a Brit overseas citizen, or a 'british overseas territory' [sic], or a 'British national overseas'). Key thing: these concepts do not correspond or map directly to territories around the world that are "British" (in one legal sense or another).
"Immigration status" has to/should be different because (for example) residence in a 'British territory' (or some French and Dutch and USA ones, surely lots of other cases too) does not apply to all holders of the many-flavoured UK passports. Hong Kong and China are similarly complex (HK technically not being a country but having a different passport than for other Chinese citizens).
Yes, it kind of doesn't make sense for Scotland, NI, England and Wales. Because this stuff is hard and computerised lists of categories don't capture all this stuff properly. Don't worry about it, put Scotland if you want.
