Region locks are vile practice. It's infuriating to see them creeping into PC gaming (historically a region-free platform) at a time when two of the three console developers have ditched them and the third (Nintendo) is considering dropping them. That said, it's worth reflecting on why they exist. There are, historically, two reason behind this.
The first is plain old-fashioned cultural stereotyping (which somebody being less diplomatic might call "racism"). This is the classic Nintendo reason. Big paternalist companies like Nintendo (they're not alone in this, but are the worst offenders) have this weird outlook that says that they should function as some kind of moral arbiter of what should and should not be available in each territory. Hence certain games are "not a good cultural fit for some regions" (usually a view based on offensive broad-brush stereotypes... or racism, if you prefer the more honest term) or "require alterations to be culturally appropriate" (meaning "we're going to cut the game to hell on release in some territories, because REASONS"). Happily, this particular driver behind region locking is on the decline. Sony used to buy into it every bit as much as Nintendo, but have completely washed their hands of it. Even Nintendo are considering getting out of this game. I should add that a few territories (a handful of religious-wacko countries, plus Germany and Australia - what good company they find themselves in) set up their own barriers that require these kind of locks on occasion. In those cases, the blame rests with the Governments of those countries, not the platform owners/publishers.
The second reason is more complex and is down to differential pricing. Not every currency is of the same strength or stability. The last few days have made that pretty clear, if it wasn't already. And by and large, a lot of those countries which have weak and/or unstable currencies also tend to have very high piracy rates. A lot of companies (Microsoft used to be particularly bad in this respect, but have been stepping back lately) operate under the delusion that if they sell their products really really cheap in those territories, they can get people to buy legitimately, rather than pirating their products (all the evidence to date shows this doesn't work). Problem is, when you do that, you create a huge reverse-import problem; why would a US or European consumer pay the going rate in their territory for a locally-bought copy, when they could import a Brazillian or Russian or Vietnamese copy for a fraction of the price (which probably has English-language support anyway)?
Now, in a pure free market, one of two things would happen. Either the company selling the product would have to drop its price globally, or else it would have to accept that customers in those marginal economies just couldn't, for the most part, afford its products. But we live in a world where they're allowed to circumvent the free-market at will - via region locks. So first-world consumers get to subsidise producers (usually fruitless) speculation in developing-world markets.
There's a curious mirror image of this around one particular market; Japan. See, Japanese consumers are willing to pay massively over the odds for media (movies, games, TV series both live action and animated), particularly when said media is domestically produced. Seriously, you think UK or Australian consumers pay over the odds? It's nothing to what they'll pay in Japan. And because Japan has a large media industry which has grown accustomed to being able to milk this unquestioningly loyal (and seemingly happy to be exploited) domestic market, a good chunk of it is desperate to keep said market behind a walled garden, with reverse importing from the rest of the world locked off.
So yeah... region locking... a few reasons for it, none of them good for the consumer. Truly sad to see it come to Steam (though it's been creeping in at the margins for a while now). The only alternative? Fix all regions' price to the dollar (allowing for differences in local sales taxes, which is the major difference, for instance, between US and UK prices). But then a good chunk of the world wouldn't be able to afford to buy anything like as many games.