The PS3 consoles are built for specific regions and can cause problems if you buy the console elsewhere. I bought mine from Currys in the UK, but I got a Eurozone console and it means I don't have the iPlayer icon on the main menu (not a huge problem, but I hope this isn't a precursor to other things).
As far as I know, it's up to the game publisher if they want to make a game region specific. Most don't lock the games, but some might. If you read the back of the game it might tell you if it's region locked. Apparently PES 2008 has this on it : "Will play on UK and European Playstation3 only".