The only difference in the server's location are the transfer speeds that you will receive when downloading your data from the server; there is not any difference in security.
Your transfer speeds from the server are determined not just by the plan you have with your ISP, but also by your peering to the server. Before your connection reaches the server, it has to pass through multiple other locations. If any of these locations are experiencing issues (maintenance, congestion, etc), it can affect your transfer speeds. It will typically be the case that the closer the server is to you geographically, the better speeds that you will achieve and the more stable your connection will be.
You can test transfer speeds to each datacenter on our speedtest page.