If the country does not matter, you do not have to pick a server. In Auto mode the subscription takes an available connection from the suitable options and changes it itself when it stops answering.
When the country matters, pick it yourself — the subscription has five locations. The feature set, Auto included, depends on the subscription format and the app.
When a service needs a specific country, for example an app or site available only in the USA. Or when you compared speeds and want to stick to the best server for your carrier. Otherwise leave Auto on: a manual choice holds one server even if it stopped answering.
If the country does not matter, Auto mode: it takes an available connection by itself. If it matters, the country the service needs.