ג וּבְכָל–מְדִינָה וּמְדִינָה מְקוֹם אֲשֶׁר דְּבַר–הַמֶּלֶךְ וְדָתוֹ מַגִּיעַ אֵבֶל גָּדוֹל לַיְּהוּדִים וְצוֹם וּבְכִי וּמִסְפֵּד שַׂק וָאֵפֶר יֻצַּע לָֽרַבִּים
3. And in each and every state – place where the word of the king and his rule reached – was a great mourning to the Yehudim, and fasting, and crying, and eulogy. Sack and ash was spread under most.
On a simple level, the Yad HaMelech brings that, the further away from Shushan that a Jew found himself, the more scared he would be after learning of the decree. After all, the limited power of the king there would make it more difficult to control the anti-Semitic masses eager to jump at the chance to kill Jews in those locations.