Still kudos going this path in the cloud-centric time we live in.
Thy will vary by country, by state or even county , setting up a DC in the Bay Area and say one in Ohio or Utah is a very different endeavor with different design considerations.
1 and 2 are independent of regulatory domain. 3 involves utilities, not governments, and is probably a clusterfck anywhere; 4 isn't as bad (anywhere in the US; not sure elsewhere) because it's not a monopoly, and you can probably find someone to say "yes" for a high enough price.
There are people everywhere who are experts in site acquisition, permits, etc. Not so many who know how to build the thermals and power, and who aren't employed by hyperscalers who don't let them moonlight. And depending on your geographic location, getting those megawatts from your utility may be flat out impossible.
This assumes a new build. Retrofitting an existing building probably ranges from difficult to impossible, unless you're really lucky in your choice of building.
[*] hmm, the one geographic issue I can think of is water availability. If you can't get enough water to run evaporative coolers, that might be a problem - e.g. dumping 10MW into the air requires boiling off I think somewhere around 100K gallons of water a day.