Regions are a combination of countries that are logically grouped as these countries have shared characteristics, such as the same destination.
You are free to define regions. Regions define countries where returns are allowed. The available countries are determined by the countries that have been allowed in the account settings.
You can create a simple "all" region but also define regions per geographical area. Setting up specific regions is advised if you will have different logistics plans per region or per combination of region and return type. If you only have one logistics plan (one carrier and one destination), let's just create an "all" region.