What is the difference between apple watch ultra 2 models MX5U3FD/A and MX5U3NF/A?

They are for different regions of Europe:

First: Austria, Liechtenstein, Switzerland.

Second: Belgium, France, Luxembourg, Portugal.

No real difference besides the countries they are manufactured for.

FD is for Austria, Lichtenstein and Switzerland

NF is for Belgium, France and Luxembourg

Functionally they are the same watch.

Check the specifications in regard to what cellular wavelength bands each watch’s modem provides. You need to inquire from your cell provider what bands they are on and review the specs to see if the out of region Watch offers those bands.

Not really. The EU is considered one country for warranty and service. So there should be no issues regardless of which you choose, but if you really want to make sure look for one with DN instead of FD or NF.

It's usually best to buy an Apple device in (and intended for) the country in which you live. You'll be less likely to encounter any issues with support.

Regards.