Servers and waiting in line
Your party lives in the host's region. If the servers are full, you wait in line.
The host's region
A party is created on the host's server, and every friend who joins through the link goes there, whatever region they chose for themselves. A friend far from the host may notice more lag.
Each player's own choice is under Options, in "Server": Auto (nearest) or a region. You are only ever placed in the region you picked, and never silently moved to another one. A region that has been quiet may be asleep, and it starts when you join.
When the servers are full
You see "The servers are full" with your place in line ("Players ahead of you"). That also applies when you try to create a party. You can ask to be told when it's your turn, or keep the tab open to hold your place, and you can leave the line at any time.
If a region is asleep, you see "Starting a server for you" and you are connected as soon as it is up. If it is offline, leave the line and pick another region in Options.