I think DSi Shop's reason for region locking is different than 3DS' eshop of region locking
Whereas the entire 3DS is region locked to keep it more hack-safe, the DSi's region lock is only extended to DSi Ware. Certian DSiWare titles could only be allowed to be sold in specific regions to either licensing issues, or "ESBR" issues.
For example, "ESBR" system is not universal. Its for America only. Other countries and regions share their own systems that are like ESBR, but called under different names. And as you'd also expect, their system's rules don;t apply to our own. Whats considered "T" for Teen AKA 12-13 and up could be free for less age, any age, or restricted to just adults. Quite a few games refuse a certian title to be sold in their country until the producer/developers change content in their games to meet the requirements/restrictions of their ESBR-like systems
The other reason is because of licensing reasons. DSiWare goes THROUGH Nintendo's Service, and Nintendo may be held back to list/release certian games due to contractual obligations that come with that game. For example why a game like Jump Super Stars would NEVER see the light of day outside of Japan was because too many publishers had their hand and brand in a single developer/producer's game. There are games in Japan and Europe alike that ARENT allowed to be sold in the US, and vise versa. It stands within reason that the DSiShop as well as most online shops have to obey the will of the producers.
Anti-piracy might be a perk of region locking, but for the DSiWare, its all about licensing issues and age restrictions of certian regions. The DSi itself however can run any physical DS game you insert into it.