Its not a mandatory setup for finance implementation. Jurisdiction is an area like country/state etc where a particular law applies.

All legal entities must be registered against a jurisdiction that is governed by a legal authority. A legal jurisdiction is
a combination of the legislative category (such as labour law, transaction tax law, or income tax law) and the
physical territory (such as a group of countries, a country, a province, or a territory) to which legal rules are
grounded. A tax jurisdiction is a geographic area where a tax is levied by a specific tax authority. Jurisdictions must be set up before creating registrations, because a jurisdiction is required in the registration process. A jurisdiction must also have a start date and end date to show when the jurisdiction is effective and when you can register against it.

Example for Canada

Canada Federal Tax
Quebec Provisional Tax,

These information are available as a part of the localization package.. If it is not available then these information are available with the finance team of the client...
HCM Consultants are not required to know them for each country