Two issues.
1. The device selection is different for the two regions
Because residential wiring is different in the US and most of the EU, you may have a harder time finding devices that match the shape, size, and voltage that you are used to. This is particularly true for light switches, but also affects plug in pocket sockets. It’s quite common for manufacturers to only make devices on one region’s Z wave frequency.
So this would be a typical switch on the US frequency:
https://www.amazon.com/LINEAR-GoControl-WS15Z-1-Zwave-Switch/dp/B00E1OQN8Y
While this would be a typical switch on the EU frequency:
Smoke alarms made on the EU frequency are generally not legal in the US and vice versa because the sound patterns for the two are different and they also work in slightly different ways. US alarms start out at a single decibel volume and just repeat the pattern over and over. Most EU alarms start out softer and gradually raise the volume level. EU studies indicate that the rising volume is more effective at waking children, so that type is generally mandated by law there.
It’s very easy to find radiator control valves on the EU frequency, and almost impossible to find them on the US frequency as that type of heating system just isn’t used much in the US.
Door locks are in different shapes in the two regions and this can prove Challenging. In particular, there are Z wave locks made for the EU region which are very thin, but nothing similar for the US region. It’s also possible to get a multi point zwave lock in the EU, although it may require professional installation. These locks are not made for the US market.

And as mentioned the basic pocket socket issue. There just isn’t anyone who would make a a EU style plug in module using the US Z wave frequency.
US Frequency ONLY

EU Frequency ONLY

2.RESTRICTED FREQUENCIES
One of the reasons that zwave frequencies are different in different regions is to avoid interference with local mobile phone or ambulance service frequencies. Since the mobile phone frequencies vary from region to region, Z wave frequency for that region will be selected so as not to interfere. In some cases this means that it is illegal to use a Z wave frequency from a different region. You just need to check with your local laws to find out what is allowed.
Obviously, it’s up to you, but just because of the device selection issues I think most people preferred to have a hub that matches their own region’s zwave frequency.
Also, you probably already know this, but in part because of the legal issues mentioned above it is not possible to change the Z wave frequency of a hub after manufacture.