That said, I have activated the special Europe and Korean versions here in Canada no problem. There are different versions of Windows, based on court rulings and anti-trust matters. Microsoft is supposed to discourage selling the various versions around the world.
Back a while ago, I remember that Netscape and Internet Explorer had "for distribution in the US and Canada only" in the file names themselves, due to security reasons (ie the included encryption). The warning might also be a throwback to that as well.
I would go ahead and activate it anywhere you wanted.
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