firstly, what does it matter if you change the region from the one you actually live in, and also what does it actually do?
it also says
Select your region from the drop-down list. This field displays the region of operation for which the wireless interface is intended. It may not be legal to operate the router in a region other than the region shown here. If your country or region is not listed, please check with your local government agency or check our web site for more information on which channels to use.
why would it be illegal?
my thinking is, does it use different frequencies or something? if so would this provide better signal strength?