If you buy the CD from a retailer like Laser CD and such, it's obviously fine, because they ordered the CDs from the label so the label got paid for the CDs. If it's a license to a third party like Japan or Mexico, it's a different situation. In that situation, the Japanese or Mexican label is releasing the record intentionally for people in Japan or Mexico to buy it. Nuclear Blast doesn't really see a whole lot of the money from those sales, in most cases these licensing deals are stuck because the label doesn't have distribution networks in those territories and they figure they may as well make a small amount on sales anyways if they can since in licensing deals they don't have to spend any money on printing or marketing.
But in the territories where they DO spend money on printing and marketing (USA and Europe + UK), they make most of their money on CD sales on the sales THEY release. This in turn is good for the band because it means more tour support, more label push, etc. If you want to see the band play Japan and get dropped by their label over here and in Europe, yeah everyone can buy the Japanese version. But in my mind, you may as well have illegally downloaded it. Saying a sale is a sale is honestly a stupid argument. It's like saying a bootleg is justified because you're spending money on it. No, you're throwing money out and the money isn't really going to anyone in the band. Those Japan, Mexican, Australia (any territory that is licensed to by the label) are releases are released by Japanese, Mexican, and Australian labels mean for people in those territories to buy them. But Nuclear Blast sees almost none of those sales -- they see much more from the records THEY release.
And again, it boggles my mind how ignorant you all sound. Why do you think games and DVDs are region locked? For laughs? Because they think it's funny to piss people off? No, it's because whoever is releasing the DVD in the US doesn't see any of the money (or sees very little money) if someone in Denmark buys it, so they region lock their products so that they don't lose money.