It seems that Huntress just wants this Entra Usage Location set so they can use it as a datapoint, setting it per user it tedious. MSP and IT also use JIT accounts which can create accounts on the fly. As an MSP, we are getting these alerts for every JIT account being created.
For all our clients, we could simply just tell you (in settings) that USA is the only Usage Location, vs setting this on a per user basis. Above that, if there was a single user in say Japan, it would be better for us to set that usage location on their identity in Huntress, not in Entra.