You can do as much as you want and it is legal. But keep in mind that billing, pricing and currency will be also shifted to the country you chose + some apps might be also not available.
Like if you are in US, move your account to EU, then icloud/music will be billed in EUROs - euro payments might fail to your regular credit card - you will lose icloud/music. Also apps like chik fil a might be not supported so you would not be able install or update at some point - if you have it then you will keep using it until it asks to update - if you don't have it then you might be not able to fresh install.