I don't have 5th Ed books in front of me,
The map in the 4th Ed book suggests that there is unclaimed territory between the Novgorod and Levant tribunals.
what are the 5th Ed ramifications of setting up a Covenant in the unclaimed territory?
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Eventually you'll be asked or told.
So, politics.
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The rules may or may not apply to you, depending on how far you're from other covenants. If you're interfering with the mundanes in Central Asia, chances are unless you take control of the Mongol hordes and come knocking down on the doors of Mythic Europe and the levant, no one will ever care about it if you don't gloat too much.
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Lack of access to redcaps
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No magi to make claims of damages against you (except for within the covenant)
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No prying Quaesitors to see what you're up to
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Eventually, having to decide which tribunal you attend - and the other tribunal might be upset about that.
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Sort of like if you put a Covenant on the Caspian shore near the Caucasus (by way of example), then Rhine Tribunal representatives would try to convince you to join Novgorod as part of a plot to annexe Polish territories for Rhine Tribunal?
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There is still. Around 1220 this is called Cumania in Mythic Europe and the Order. The Catholic Church has formally put it under the authority of the Archbishop of Esztergom. The Byzantine Church is less formal, but more present in some areas.
Magi setting up a covenant in the vast area have to integrate themselves with 'the natives', which can mean:
- Quickly 'going native' themselves, forgetting the Order until the Mongol come knocking and being forgotten there.
- Organizing their very own Redcap calling regularly in the Transsylvanian Tribunal for news and political guidance by the Tremere.
- Perhaps knowing of and coordinating with some equally 'independent' magi in a covenant (TC&tC p.139) in Greater Armenia.
In brief: your magi need to decide themselves to whom to attach for help, books and trade. And that attachment and their behaviour determines the politics they live by.
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There is the possibility this is also where Magi flee to avoid being Marched.
Presuming your Saga allows the possibility of Magi out-running their Marching orders
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I remember working on a write up for a saga about the colonization of Crimea by magi from the Theban and/or Transylvanian Tribunal(s). And how Novgorod was offended, but had a rather poor argument, since there wasn't a "native" novgorodian Covenant within a thousand miles of Crimea 
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I'm running a campaign at the moment with a colonization theme, not east of Europe but in Tunisia.
The idea is to have the campaign follow phases, mirroring the real world colonization of the new world, beginning with initial colonization, contest with the natives over resources, contesting with other European covenants sponsored by other tribunals, tribunals fighting over the right to colonize and finally a push for liberation and founding of a new tribunal.
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It is a Low Crime to not be a member of a Tribunal.
You don't necessarily have to live inside that Tribunal, but that will depend on the local rules of the Tribunal.
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I am not sure which edition, but at one point Novgorod was defined as «everything else». What's bordered on the map is thus the area settled or considered for settling, and not the area technically assigned to Novgorod. New covenants will change the boundaries.
As Timothy says, it is a question of politics. Eventually you will be asked or told, but if you settle in uncharted territory, that may be a long time, and in all likelihood, the covenant will fall before it has to interact with the rest of the Order.
There is precedence in canon [GoF] with the covenant on Zealand (Denmark) which is technically in Novgorod but is working for recognition in Rhine. The politics has to be resolved in play, as will be the case wherever you push the geographic boundaries.
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It is, but it hardly matters if nobody can find you.
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Heck, building your Covenant on the border or back country of an existing Tribunal will have much of the same effects. Yes a Redcap will visit but it will be rare (annual?) and your interactions with other members of the Order will be minimal.
Only reason people in Provencal even remember our Covenant is because of our book selling. Technically Levant island is not on the map as part of Provencal. Additionally our Covenant is in a massive Regio where it could survive nearly indefinitely (internal food, vis, craftsmen, etc).
If your goal is to separate the Covenant as much as possible from the Order, you can still do it within a Tribunal if you pick your location away from everything.
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Even if they can find you, the question is, have you made enough of a mess to be worth the political drama of claiming jurisdiction over you to try to prosecute you for the Low Crime?
I mean, if you're a covenant in, say, Mythic Abkhazia, you've got at least four regional Tribunals with some sort of local interests to play off against each other (Levant, Novgorod, Thebes, and Transylvania). Assuming you aren't being obviously stupid (by which I mean doing something so patently dangerous to the whole Order that everybody else sits back and cheers on Transylvania/House Tremere's decision to March your whole covenant), you should be able to keep things up in the air through at least two Grand Tribunals as all the factions jockey for relative position.
Good point.
The hypothetical magus would still be under the jurisdiction of the Grand Tribunal, but who would use their one and only GT agenda item to bring a Low Crime charge against a mage?
Cutting the other way, if someone wants to go to war against you or steal your resources, you have no Tribunal to appeal to. You are truly on your own.
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Where does it say that tribunal vagrancy is a low crime? Arguably, vagrancy violates the phrase «I will have one vote at Tribunal» in the Oath itself, making it a high crime.
I also do not think it is correct that the case mush be made for a grand tribunal. Certainly, a vagrant magus spending time in one tribunal can be tried in that tribunal. A magus defaulting on the residence requirements of their last tribunal of residence, can probably be tried in that tribunal. I would hold that the requirements are only waived when a new tribunal of residence has been found.
Since the accuser can normally claim in a share in the spoils, it may be worth accusing, at least if one has the power to face a Wizard's War.
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HoH:TL p49, the "Vagrancy" insert
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It is clear that house vagrancy is a low crime; not so clear about tribunal vagrancy.
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It says that vagrancy is a low crime. It then says that people who don't have a tribunal can be charged with vagrancy. Seems pretty clear to me.