Last year Valve already got fined for this behavior in the EU, but apparently, they refuse to listen.  Valve has "added a limit on how often you can change the country of your Steam account," and users can now only change them once every three months.

Let's say you are in the US and a game that interests you costs $50. For someone in some European markets, that game could cost a lot more, and for someone in certain South American countries, it could cost a lot less. Looking at the average cost of a Steam game around the world. As you can see, what people pay in the US and Canada is not the same as what people pay in the EU, Russia or India.

Therefore, a Steam user that gets the disadvantage of local prices trying to get a cheaper game is now further restricted. By buying it from a different country could add up to your savings. This move comes a year after Valve first tried to close this price gap, when they made it difficult to buy things from different regions by forcing users to use a local payment method (so you can't use a local payment method). A good example is that using an American credit card to buy a game in South America does no longer work. 

Valve Invokes further Regional restriction - doesn't want you to use VPN to get cheaper games