Eorzea is a subcontinent that is part of the greater Aldenard continent (I think), like how Europe is a part of the greater Eurasian continent.

It's the hub of aetheric activity on all Hydaelyn (Eorzea is more aether-dense than anywhere else), so naturally a lot of activity happens in and around the region.

Whether we ever get to leave Eorzea, who knows. With Ala Mhigo coming up we'll have explored the entire region, so it's either leaving home or alternate reality versions of the region.

Other regions are capable of summoning primals, i.e. a Doman primal was what convinced the Garleans to have a genocidal policy against beast tribes, and both Bahamut and the Warring Triad are Meracydian in origin.