Here are their actual terms:
http://www.nic.it/RA/en/domini/regole/regolamento.pdf
It does not say that a the DNS must point to a host in the EU. It does say that they can annul your registration if the domain is not visible for more than three months or your name servers are non-functioning:
11.2 Official annulment
The Registry officially annuls the assignment of a domain name in the following
cases:
ยท shortcoming of the objective and subjective elements which have determined the assignment
of a domain in the ccTLD "it", where expected;
ยท failure to present the documents requested by the Registry according to article 13.3 below;
ยท failure to present the documents requested by the Registry according to article 3.2 of the
โTechnical Registration Proceduresโ;
ยท the non "visibility/accessibility", for more than 3 months, of the objects belonging to the
assigned domain name (or the non functioning of the authoritative name serves given into
the technical registration form deposited into the ANR or their misconfiguration accordingly
to section 1.4 of the โTechnical Registration Proceduresโ or the unreachability of the e-mail
address "postmaster@<registered domain name>.it"). The verification of the missing
visibility/accessibility shall be technically made by Registry, by default or upon a third party
written request. In this case the domain name cannot be reassigned to other individuals or
organisations for one month from the annulment date.
ยท violation of the last paragraph in section 7 of the present Rules.
Are you trying to use it outside of the EU? Perhaps contact the domain registrar then, and get a definite answer on your particular use.
