They do and it is a pain. There is a way around it though. You can use Steams website to buy games. Use http://store.steampowered.com/?cc=XX where XX is the two letter country code you have access to. They still check address and payment details match but this does allow you to use paypal.

The sooner the content world gets rid of silly region restrictions the better we will all be. It is ridiculous that even with trade agreements North American companies insist on charging non-US customers more for a usually sub-par service.