As with anything region locked, why they prevent use in other regions can be for many reasons...
While it's a free demo, it doesn't mean money isn't involved. Licensing fees have been paid to the appropriate parties to release in those regions, in some regions these may not have been finalized or the agreement may stipulate a certain date. In these cases MS would need to prevent use in unlicensed areas. MS may have been paid also to release in certain regions first. If they have been paid to do something by region they will need to do what they can to ensure that they make the people who paid them happy.
Also MS may just WANT to release it in those areas. MS has been courting the japanese game market and may be trying to give them a little something extra to show them the MS cares by giving them an exclusive first peek. It may not be direct revenue (as in selling the demo) but if Japanese gamers feel MS has given them something special they may take more warmly to MS's system. Let's face it, first dibs, especially in the game world = warm fuzzies.
And to all those who are complaining they have actual japanese boxes with japanese gamertags, it doesn't matter, you are still IN the US. I may have a legit Japanses car that is licensed and fully owned by me in Japan and that does not make it street legal in the US. The DMV isn't going to come disable your engine (although they may impound your car) but the point is still that licensing is often handled literally on a by location basis... as in where you are using the product, not where you bought it.
Someone mentioned throwing up an error screen vs corrupting data... I haven't seen what exactly happens but I would assume that the demo now basically states it's unplayabe. When we hear corrupted data we think messing with stuff in a dangerous way, something as small as deleting a license file could be enough to in a corrupted demo. Need not be more nefarious.
I gotta say I can't hold this one against them too much...