Question for Korean players

A friend of mine just moved from NA to South Korea and is under the impression that it is impossible (or otherwise very dangerous) to play on WoW private servers as a South Korean resident. Is this true? Would love it if any South Korean players could comment about how feasible/dangerous it is to play on an EU private server.

Reading below, I see someone has been having trouble connecting from Thailand. It seems it is less country specific and more provider specific. Would love it if someone from the area could comment on that i.e. is this a problem with the majority of providers?