They absolutely do have that infrastructure. They implemented every country's content rating system, such as PEGI, ESRB, ... . Games are regionally banned, such as in Germany [1]. Games can also have regionally censored games, typically for violence/gore in Germany [2]. With the strange effect that if you change your account's region, it re-downloads some of the games.

The legal situation with VPNs and traveling between regions is the same as with any internet service.

[1] https://steamcommunity.com/groups/foruncut/discussions/17/41... [2] https://steamcommunity.com/groups/foruncut/discussions/17/39...