I am currently in Saudi Arabia, and that means that I need a police record from Saudi Arabia. Both Saudi Arabia and The Netherlands are NOT issuing police records without a letter from the US Embassy directed to the relevant authorities in those 2 countries. This is also clearly mentioned in the link above.
For Saudi Arabia: "Saudi citizens and third country nationals residing in the Kingdom process the police clearances by first obtaining a police clearance request letter from U.S. Embassy Riyadh, U.S. Consulate General Jeddah, or U.S. Consulate General Dhahran."
For the Netherlands: "Please note, all applicants will need to submit:
The point is that the US Embassy in Cairo replied to me saying "You will be given the instructions on the day of interview." when I contacted them asking for such a letter.