The standard adjective for things from Belgium is “Belgian,” as in “Belgian chocolate.” But a substantial minority of English speakers say “Belgium chocolate.”
Although the Oxford English Dictionary doesn't acknowledge “Belgium” as an adjective, this usage is long established, especially in the phrase “Belgium lace.” My guess is that it goes back at least to Shakespeare’s time.
Some country names just seem to lend themselves to adjectival use in English. Consider “China tea” and “China silk.”
Then there’s “India ink” and “India rubber ball”—both definitely standard. “Turkey carpet" is not as common as it used to be, but it’s still used.
We never speak of “Brazilian nuts.”
To me some of these uses sound antique rather than wrong. But if you want to follow the majority of modern speakers, say “Belgian chocolate” and “Chinese silk.”
Note that there’s no good adjectival form of “United States,” so ”US trade policy” is a synonym for “American trade policy,” and preferred by headline writers. Frank Lloyd Wright proposed “Usonian," but that never caught on.