You also end up with the ads displaying differently - with the extra line and you can also further customize ads for each region - again, higher CTR.
As to targeting all regions vs. the whole country: I once selected every individual region in one country as opposed to the whole country by mistake and found that the whole capaign slowed right down. I was scratching my head for ages and then noticed, put it back to the whole country, and it was fine again. That was a good while ago though - so it's probably sorted now.