To add a Region as a Super User, click the Plus icon on the listing. To edit, click the Edit pencil:

You'll then be taken to the set up for the region. Fill out the name, a handy shortcode, and select the countries you want in that region by checking the boxes. You can have as many or as few countries as you like.

When you edit a Region, the countries list is collapsed to only selected countries. If you need to add more, click "show all" for the full list.