They do and it is a pain. There is a way around it though. You can use Steams website to buy games. Use http://store.steampowered.com/?cc=XX where XX is the two letter country code you have access to. They still check address and payment details match but this does allow you to use paypal.
The sooner the content world gets rid of silly region restrictions the better we will all be. It is ridiculous that even with trade agreements North American companies insist on charging non-US customers more for a usually sub-par service.
In many ways, the content world is also limited by local laws. For example, in Canada, media distribution is required to provide a certain amount of Canadian content (iirc). The point is, it's not just one sided.
This only covers radio and television. The CRTC has been very clear it can't/won't regulate online services. See it's decision a few months back about Netflix.
The sooner the content world gets rid of silly region restrictions the better we will all be. It is ridiculous that even with trade agreements North American companies insist on charging non-US customers more for a usually sub-par service.