Well the warning wouldn't matter much and would not be enforceable for the purpose of rerolls/deletions. You are expected to create the giveaway with the appropriate region restrictions using the region settings on the creation page. Once created, anyone is able to join the giveaway is considered to be a valid entry with few exceptions (leaked giveaway, rulebreaker, etc.). When in doubt, you should either look up on steamdb to see what tags may be applicable to the game or create the giveaway with the restrictions in place.

In general, when it comes to indie titles, very few of them come with regional restrictions. It is only when you start dealing with established publishers that you should double check to see if there is region restrictions. Devolver Digital do not region lock their keys, so they are fine using the default settings. It is when you deal with publishers like Deep Silver, Activision, or Capcom that you should make sure which region your key belongs to first before creating the giveaway.