I put mine as Malaysia. Doesn't matter anyway as the first servers it tried to connect me to were the US servers which were down (last night at around 4am) I had to manually select the Asia servers to play

Basically, you can play on any of the 3 zones (US/EU/ASIA). However characters you make in those region remain in those region. IE if you make a character on the US zone, it can only be played on the US side.