Application Insights makes automatic ip lookup for your telemetry. Geo information can be quite useful for monitoring, troubleshooting and usage scenarios.
You may have many environments where your application is running. For every environment you will create a separate Application Insights resource so you can set up access and billing for the production telemetry differnetly from the QA environment.
Imagine you run a high load web application. If this application should be accessible from the different domains you need to configure your server to correctly respond to OPTIONS requests.