Earlier today after installing the game I decided to play a Demon Hunter to roughly the Skeleton King. I logged out of the game to have my lunch and when I came to log back in (without changing region in the options menu) the game prompted me to create a character again.
Naturally I thought this odd, as this wasn't the first time I had loaded into the game. Anyway, I create a random character just to get past that screen only to see that my Demon Hunter had been apparently deleted.
I knew with 100% certainty that I hadn't deleted the character myself, and thought that I should check the other regions to see if I had any characters there (despite not making any myself).
After logging into the American region, I noticed that my Demon Hunter was in the character list, but was un-selectable (stated something like 'Level 0 Hero' with no character model, on the main screen) and had no achievements / banner was different to what I had made it.
Now, I know (again, with 100% certainty) that I didn't originally create my character on the American region. I say this because I checked before logging into the game for the first time that the game had defaulted me to the Europe region (which it had) and because while playing, I had noticed that I was getting higher pings than you might expect while playing on local servers (200-400 range).
I checked again at this point (using the options menu while in game) that I was playing on the European servers, and low and behold, Europe was still selected. I thought nothing of it after that, and continued playing.
I can only assume that perhaps, despite having selected 'Europe' in the server region options menu, the game connected me to the American servers anyway (but perhaps saved my achievements / banner changes to the EU servers, which is why I can't access them now that my character is listed as on the American servers).
I using the OSX version of Diablo 3, on a 2009 Macbook Pro. i installed off of the retail disk.
Needless to say, I don't want to recreate my character on the European servers (for a second time) and have this happen again.