Actually all Mega/Sega CDs have a region lock, and the regions of the CD unit and the console are checked on boot.
I believe there are a few ways to solve the problem...
1. Mod your Genesis/Megadrive. It's not much harder than doing a Sega Saturn mod, but keep in mind that once you get the CD drive to boot, you'll only be able to play CD games that match the region of the CD unit.
2. Mod your CD unit. You can do this by opening the machine up and replacing the BIOS chip with one from the region you want to change to. Note that you'll still only be able to play CD games from the region of your new CD BIOS...
3. MegaXKey or CDX cartridge. Some versions of the CDX won't work on all Mega/Sega CD variants. This solves both the BIOS lockout and the region lockout on the discs.
Also, I think you can copy/patch/reburn discs so that they match the region of your CD unit. The bad news is that none of the Sega CDs I've tried read CD-R reliably
NOTE: the Mega Key 2 will NOT do anything for the CD unit, it only allows cartridges from different regions to physically fit in the console. I'm pretty sure that there is a combination cart/CD no region cartridge but I don't think that's it, judging by NCS' description of it...