Basically the Regional settings affect formatting. I'll take Spain as an example. Setting the regional settings to Spain, or Spanish, will set the formatting options for currency, dates, numbers etc.. to reflect that regions standards. Such as $1,000.00 english currency value will become: 1.000,00€. Notice how the comma and decimal point change positions as they are used to designate different things.
Also the keyboard layout will also be modified such that certain characters are available and others change positions in a standard keyboard. Instead of having the : and ; key print those characters, you'll get the "ñ" character to be used for words in the Spanish language.
As you have seen, the actual language of the OS cannot be changed unless you do a full re-install.
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Ignorance is not necessarily Bliss, case in point:
Unknown has caused an Unknown Error on Unknown and must be shutdown to prevent damage to Unknown.