Steam has a good outline of their policies regarding regions.
When redeeming a key, if there are any issues with the key and your current region, Steam would not allow you to activate.
The primary thing to note is attempts to bypass restrictions (using a VPN for example) will result in a ban. However, this is only if you deliberately try to bypass their limitations. If you have activated a product, and it is successful, and you are able to play it without doing anything weird to bypass their restrictions, they basically don't care at that point.
Of course, Steam is free to modify their policy, but they have yet to remove already activated game due to "region" or even "legal" issues. For example, they are no longer able to sell the game Alpha Protocol due to licensing for the music expiring, so nobody can buy it anymore, but this game still remains in my library, and I am free to download it anytime and play it.
The "Region Locking" with Steam primarily has to do with pricing. The price variance is HUGE. For Skyrim, it is priced at only $6.45 USD equivalent in Argentine Peso, but a whopping $52.60 USD equivalent in Israeli New Shekel. Their region locking is to prevent you from buying everything using the "version" with the lowest price.
Beyond that, some countries will ban certain games due to various reason such as politics, ratings, licensing, and so on.