Why is Montenegro not a supported xbox region?

If a region is not supported, it's typically due to some rules and regulations that region and Microsoft have to agree on.

It's a violation of the terms of service so it does put you at risk for being banned.

So that means I can get banned for no reason because my country isn't a xbox region?

I have just one more question.Can I get banned by setting my region as a different country than the one I am in?

No, Microsoft is contractually required to enforce the contracts that they signed, which includes enforcing regional rights to copyrighted material. For example, in Europe, six different studios own , the Lord of the rings in different areas, Capcom distributes call of duty and Grandtheft auto in Japan.

They can be sued for allowing you to access material in areas they do not have a license for. This is the same reason why Netflix keeps shutting down VPNs