I am currently living in Japan, and bought couple games already. At the moment about to buy "Middle-earth: Shadow of Mordor", but on Japanese Steam Market, its name is "Middle-earth: Shadow of Mordor (JP)" with a small warning that says game includes Japanese language support. So I will be buying the Japanese version, but will there be any limitations afterwards? If I want to play again from another country? Also 90% of the same game's DLC's are N/A in Japanese store. Please can someone help me what the heck is wrong with Japan?
In the case of Shadow of Mordor, the only limitation is that you can only play the game in Japanese or English. The international version supports many more languages (but not Japanese).
Usually, region locks will be noted on the store page. However, since it falls to the publisher to add this information, it's not always present.
One way to make sure is to add the game to your inventory as a giftable copy first, then inspect it. If there are any play locks, it will look like this:
If it's not restricted, you can then activate it; otherwise, request a refund.