I used my Steam account for a couple months in Canada (originally UK registered account) and I had no problems. Like Vegeta said, I think this problem is pretty rare and mostly limited to specific games. Google around about specific titles and see what you find.
I would say don't worry about it quite honestly, but if there are specific titles you can't find info on, raise a support ticket: https://support.steampowered.com/newticket.php (it will be quite a low priority issue so don't expect an instant reply!)
Yep, it's just for specific countries and specific games. For example - if you move to Germany (or if you're just driving through) then you can't play the ROW (Rest Of the World) version of Wolfenstein: The New Order and you'd probably need to buy another copy but this time a one that is censored for Germany.