Jurisdiction
The TLD of a country is operated by a local organization (a company, an association, a foundation). Consequently, the said country TLD falls under the country legislation where the registry company is located. This helps to protect the business or the individual that operates the website.
For example, let’s imagine that an Indian entrepreneur wants to launch an online gambling website for Indian customers. He chooses mysupergamb.site. However this domain TLDs is operated by Radix, a company located in the United Arab emirates where all the forms of gambling are banned. The USA law enforcement authorities can block the domain mysupergam.site if they want. On the other hand, if the Indian entrepreneur would create a website called mysupergam.co.in it would be fine because online gambling isn’t banned in India.
SEO
The webpages of a domain with a country TLD gets a little boost in the google search result in the country where the country TLD comes from. In our example, mysupergam.co.in pages will get a little boost on google.co.in
You don’t need to buy your domain name in India. For instance, you can buy a .co.in at crazydomains UK
Here is the official google statement:
Q: What about real ccTLDs (country code top-level domains) : will Google favor ccTLDs (like .uk, .ae, etc.) as a local domain for people searching in those countries?
A: By default, most ccTLDs (with exceptions) result in Google using these to geotarget the website; it tells us that the website is probably more relevant in the appropriate country. Again, see our help center for more information on multi-regional and multilingual sites.