I understand Macbeth is based in the Scottish Highlands but why did he choose to create a play based in Scotland. Why not in Wales, Cornwall...? What was the appeal about Scotland during this time?
Shakespeare's plays were written to be performed, obviously, and more specifically, to be performed by a specific company of players. Under Elizabeth I, the company Shakespeare had belonged to were known as the Lord Chamberlain's Men, due to their patronage from the Carey family, who held the position of Lord Chamberlain of England. After Elizabeth's death however, their patronage was taken on by the new King of England, James I, also known as James VI, King of n Scots.
So first of all, Macbeth is based, albeit loosely, on fact. If your interested in a good (if a bit lacking in rigour) book on the subject, "Macbeth: A True Story", by Fiona Watson is a pretty accessible telling of the original circumstances around the death of Donnchadh mac Crìnaìn and rule of Mac Bethad mac Findlaich, both actual kings of Scots.
There's a lot to unpick in the construction of Shakespeare's Macbeth to see how it was very much written to be performed for James, as it touches on a lot of his favourite subjects, but first and foremost, the link is that it asserts the legitimacy of the Stuart family. Though it's fairly certain now that the characters of Banquo and his son Fleance were created by the Scottish historian Hector Boece in the early 16th century, by the time of Macbeth, it was established fact that the Stewarts were descended from Fleance. That's why unlike the works of Raphael Holinshed (an English chronicler who's works Shakespeare used extensively) the Bard's Banquo does not participate in the murder of Duncan.
The Other major thing that were tailored for James include the presence of the witches. James was very famously anti-witchcraft. it's no coincidence that's why he shows up in the recent Dr Who episode focused on it, (although I do have issues with that portrayal, but that's for another time). He even wrote a book, Daemonologie, that was devoted to various topics of black magic, including necromancy, werewolves, and most importantly here, witches. The fact that it was Witches that prompted Macbeth's actions, i.e. regicide and seeking to rise above his rank, very much on brand for James, because it also ties strongly in to his ideas on kingship.
The True Law of Free Monarchie, another of James' books, was basically a long treatise on the Divine Right of Kings, and basically introduced the idea to Scotland (and thus, England) that the succession of Kings was akin to the apostolic succession. He also touched on this in yet another book, the Basilikon Doron, which was supposed to be a guide for his sons on being a good king. (Obviously not super effective...)
All this is to say that to feature witches interfering with monarchy and dynastic succession to bring about ruin and tragedy was very on brand for Shakespeare's patron. While the play obviously has wider appeal that just this one man dead for 393 years, pandering to James was very much the reason why Macbeth is the play it is.