Much as the UK is not JUST England & Wales.... England & Wales are in the UK for now, and so it's entirely accurate, if not specific.
The distinction you make would be interesting, and useful - had you delivered it in a slightly better tone.
Here's how your comment could be improved:
"The ICO only covers England & Wales, as far as policing FOI requests are concerned.
Northern Ireland or Scotland have their own separate police services - is there any data from them?"