This is the location of the data center in which your application will be deployed. While Azure public endpoints are reachable from anywhere around the world, you should pick a location that is in closest geographical proximity to your application' s users to reduce latency.
When deploying a large-scale global application, you may also replicate it in multiple data centers. We will cover application's geo-replication in Chapter 13, Designing for High Availability, Disaster Recovery, and Scale.