Select the game, choose to buy using MSP, and then it brings up the error then.
I've no doubt it's circumventable but it's still an almighty pain in the ass

My biggest gripe with XBL lately is that they choose different region protection methods for different products - i.e. I can't buy some things from the JP marketplace due to having an UK IP, and yet because of my console region they won't let me play 1vs100 with my UK Gold account and IP.
I know one burning question about GoD is whether or not there will be locking on both the download and then the running, but I'm hoping someone else will take the plunge for me first and find out. If it's purely IP locked this is great news for owners of UK/US machines.