IIRC it was a big enough issue originally as I remember a large number of US accounts being locked back when TF2 was released (or some just as popular game). Steam cracked down on it rather hard due to the numbers involoved.
I assume one here and one their is not going to upsetup, but at some point with enough people doing it, it will happen again.
Personally, I do not care about it for most games, not because of the lower price, but because the asking price in this country is HIGHER than the US price. Steam points at the publishers as wanting it that way, and they set the price as the retail stores demand no competition with them. As to buying form cheaper countries, I hear some in my country still have region issues with some games like EA and such, but that runs beyond steam and to the actual registration. I use to order from Thailand, but that pretty much stopped when EA and some others started refusing game registrations if purchased from outside your region.
Personally, now I buy from the UK/Europe, but am paying aprox US prices anyway, so stuff the high prices here. Most of those are listed as US cd keys anyway, so their should be no issues in buying "cheap" games.
On a side note, I suspect when you buy it plays a part in how anal valve might be as well. Getting it within the first week or two at a price massivly cheaper than the RRP might get them worked up enough to look at banning accounts assuming they have been "hacked". (it appears one of the checks for hacked accounts, login in from two locations quickly that are a LONG way apart).
As a example in my case, RAGE is listed at about $80US (or was that $89.99US). for my country (AU). Charge more, and still do not use the local currency. A CD key was $45US from one site, but went with a store that posted the CD to me, so $40 delivered from the UK. Price difference is just too wrong for something delivered over the internet that I have to pay for delivery for anyway (data is far more expencive than most western countries).
So in short I think it comes down to the number of people doing it, and from were. Buying from Asia is sure to tick them off very fast though.