This sentence sounds weird. I think they are just saying that they refused to provide him with a Visa. To me, anyways, this sentence doesn't sound natural!

It doesn't make any sense - "include" is not the word. (Or, you need to rewrite the sentence if you want to use "include".) I usually check where sentences come from in questions like this, and I can't find any examples of your sentence beyond your own question. Where did you find it?

Include is the wrong word here. A correct word would be 'issue'. The authorities have refused to issue him a visa to visit England.