The only issue I can see is if you were to obtain trophies for a download-only game that isn't available in your country. This could be enough for Sony to ban your PSN/console. I'm not saying they will, but theoretically they could.
Vita is region free. The main reason why dumps have a region attached is because of differences in the contents (e.g. EU dumps usually have more European languages included). There's also something about how updates/DLCs are region locked, however the scene isn't quite far enough to give us definitive information on that yet.