You can only have one onload statement:
<body
onload=" WA_setSelectionsInChildList(MM_findObj('country'), MM_findObj('state'),0,0,false,': ');WA_setSelectionsInChildList(MM_findObj('state'),MM _findObj('city'),0,0,false,': ')">
In addition to the Set Selected in List, you also need to add the Populate list from array behaviors to the onload event.