Have you ever set up a AzureAD Tenant that can be used with Auth0 to validate any Office365 user (without setting up a specific connection to their own AD/Tenant)? I'm having trouble doing this and so any time I'm on a forum where someone seems to exhibit some experience with Azure, I ask for help. Can pay. DM me if interested, pls.
In Aws, you can pay for "premium support" and get help from them for issues like this. Can even pay, get help and then cancel the sub, it's like $50 for the month.
For public regions, I don’t think so. At worst, there might be a tiny bit of extra latency as the orchestrator works across datacenters. But region is also used by Azure Stack and the rules might be different then. I worked on this a number of years ago and if you are really concerned, you should ask support.