You're correct that it does tell you that you have to enter the card info, but if you just ignore it, the store doesn't lock you out or anything.
As for why the U.S. non-U.S. restriction, our best (varyingly informed) guess about that is that it has to do with book distribution rights. That is, if Sony doesn't have rights to distribute e-books outside the U.S., then they'd get in trouble for doing so -- thus the credit card address check becomes 'due diligence.'
like I say, it's mostly a guess, but we've got pretty good information to support it from various MobileReaders who know about such matters, and so far no reason to believe that it's not the case.
