Just for future reference, I've been doing this for years to play pre-ordered games that aren't unlocked in Europe yet. I've even had Steam support help me out when I couldn't get it working for GTA IV before it could be purchased in SA. They even permanently unlocked the game on my account so I didn't have to log in with a VPN to play it.
They don't care, the region mess is just to appease to publishers. As long as most people aren't bypassing the region locking with VPNs its not a problem for them.