Here's the problem in a nutshell, and it's something that goes way beyond what one company can do....
You have WeMakeWidgets Inc. A company that makes WidgetWaxer 3.0 (following up on the amazing success of WidgetWaxer 2.0).
WeMakeWidgets Inc. is based in Germany.
WeMakeWidgets Inc. wants to put WidgetWaxer 3.0 onto store shelves so they start looking for a publisher/distributor.
Here's where the problem comes in. See, there are virtually no distributors/publishers with global reach. Typically, you have companies that focus on their domestic or geographically close markets. So if you want your software on shelves worldwide, you have to contract with multiple distributors (publishers if you're in games). You find a company that covers North America, you find a company that covers Europe, another that covers the Asia/Pacific region. So that's three different distributors you're now trying to work with to get the widest distribution possible.
Each of these distributors will want to be the exclusive carrier in their designated market. This is to protect their investment in production and distribution. Without this they can invest tons of money in getting the product into retail, and then have the software maker switch to a cheaper service once the hard work is done.
Now, lets say after getting WidgetWaxer 3.0 into retail around the globe, WeMakeWidgets Inc. wants to get into digital distribution? Well, they've already promised their distribution rights away to these other companies, unless they reserved special rights for digital distribution in the contract. Though with games quite often the distribution rights, both electronic and retail, go to the publisher. There are a few exceptions with this such as Valve who does their own digital thing and distributes to stores through EA.
So if you want to get a game for sale digitally in the US, you have to talk to the US publisher. If you want the EU rights, you have to go to whoever has the distrib rights for that territory and secure them separately. And just because the US publisher will work with you, doesn't mean the EU one will (this is not an example of what actually happens, it's a hypothetical example). There's also the problem of what if the publisher in one territory has their own ideas on digital distribution.
By the time we come to the table to secure the rights to digitally distribute a program or game we didn't ourselves develop or publish, the territories, the restrictions, and the general contractual mess has already been established. And it's not as simple as saying "Fine then, we won't sell anything we can't get world-wide digital rights to" because then that would leave us with pretty much nothing since it's the manner in which the general system works.
Region locking is such a massive mess at the moment that is rooted in how things work in the world of physical distribution that short of the entire publishing/distribution system being reworked from the ground up (or one or two truely global publishers surfacing), it's a problem that no one company in the chain can solve. It's like saying that traffic laws are totally messed up and one driver, or a handful of drivers in one town could do it their own way and make the rest of the driving world change.
You can vote with your wallet of course, everyone always has the option to not spend their money and that's not something anyone can take away from you, but you should also know that saying "I won't buy this game in Germany because of the price difference/region locking" will probably not result in a publisher going "Oh my, we lost XYZ number of sales in Germany because of region locking." They'll probably go "Oh my, we only sold ABC units in Germany. It must mean this sort of game isn't popular in Germany, we will not sell it there anymore." Look at issues with Mass Effect's DRM situation and how EA just doesn't seem to get it. It's because they're looking at it from an abstracted business point of view, not from anything even closely connected to their customers.