I'm not familiar with this particular model of wireless router, but the regulatory issues are over things like the allowable channels and the maximum power which is permitted on each of those channels. Although both the U.S. and the U.K. have allocations in the 2.4 & 5.8GHz bands, the precise channel allocations and power limits are not the same. That's why routers sold into multiple markets around the world have country settings so that they can be configured to use the licensed channels and in the place concerned.
At the low power levels involved, the chances of causing problems are slim, and the chances of falling foul of the authorities are remote, but strictly speaking it is illegal to use any radio transmitting device in the U.K. which is either operating outside the specified parameters or which does not have the mandated approvals. Again, routers and other similar devices which have the range of international settings will usually have been granted the matching approvals too.