For example, is it possible to preferentially connect Socket to Tokyo PoP?

Is possible.
Please select Tokyo as the Primary location in CMA > Network > Sites > Applicable Sites > Site Configuration > General > Preferred PoP Locations.
This only allows you to connect to the Tokyo PoP preferentially, and does not guarantee that you will be connected to the Tokyo PoP.

■Reference KB
https://support.catonetworks.com/hc/en-us/articles/4413265624849-Defining-a-Preferred-PoP-for-a-Site-Socket-v12-0-

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