The trouble with supporting Shipping Rules for broad regions is the variation as to what countries comprise a given region. E.g. "Europe" could mean the entire continent, or just eh EU, or just Western Europe, or just mainland Europe not counting the British Isles, etc.
Typically this is handled by selecting the Shipping Destination countries you will ship to (if you won't ship Worldwide), then creating one Shipping Rule for All Countries, another Rule for your own country, and another Rule for each other country that would be an exception to the Rule you'd created for All Countries.
Rules created for more-specific destinations would override the general Rule, so e.g. the Rule for All Countries would not apply when the buyer selects a country which has its own Rule.