This cvar might be deprecated, it has been removed from the HLDS (but still exists in SRCDS) and the Steam server browser doesn't have an option to select a region any more. (Though the in-game server browser might still have this option.)
Please note:
If sv_region is set to a specific region (0 to 7) then the server will be listed if this region or "< All >" is selected in the Steam server browser's location filter.
If sv_region is set to anything else then the server will only be listed if "< All >" is selected in the Steam server browser's location filter.
And yes, the in-game server browser still have this option.
From developer.valvesoftware.com:
And yes, the in-game server browser still have this option.