The monsters are different in each nation. Also depending on your race, the nation you start in can give you a ring when you start out that adds some points to your stats. Also depending on each area it could affect the equipment you'll get, such as I believe Windurst is better for mages because it's the magic capital. Also each country has difefrent guilds such as one has the cooking guild while another has a black smiths one, so people usually start in the country where the guild they wanna join is located.