When onboarding Windows Defender ATP for the first time, you can choose to store your data in Microsoft Azure datacenters in the European Union, the United Kingdom, or the United States. Once configured, you cannot change the location where your data is stored.
The only way to change the location is to offboard the test devices then onboard them again with the new location.
Reference:
https://docs.microsoft.com/en-us/windows/security/threat-protection/microsoft-defender-atp/data-storage-privacy#do-i-have-the-flexibility-to-select-where-to-store-my-data