Yeah..I can see where it's really going on...
Technically, when want to confirm to buy a game, that Xbox server (maybe?) will first detect the location area where you want to download..if the area/country is not listed, then considered region-locked and you cannot download (it detects our ISP though, like Telekom Malaysia Berhad)...Only when you starts downloading something, you will have no problem downloading using your local internet since there's no authorize checking; just grabbing the files from server......

When the file is finished downloaded, that's where the game files need a final authorization from that server to get the licenses signed to your console..So, before finishing the download, we still need to use VPN for server to authorize the file and check the location area again..

Even then, I still consider this region lock games thingy is quite annoying and useless (and stupid )since we cannot buy some games that we like...

Well, I ended up used my MS Points to buy Batman Arkham City though, which is surprisingly can be bought...Now I have some points left, maybe need to buy some Arcade or Xbox Classics...

You won't be able to purchase them. It's as easy as that

digital copies only do a check on your IPs. It does not restrict based on your console