This selection is what drives the location of where your data will be stored. Power BI will pick a data region closest to this selection. This selection CANNOT BE CHANGED! You will want to think about the location that makes the most sense for you.
For example, if the majority of your organization’s users are in Australia, and you are in the United States, it probably makes more sense to select Australia for the country. You may also have legal requirements that your organization’s data needs to be in a specific country.
The “cannot be changed” part means that this decision is a lot more important than you might first realize.