How do I set a default warehouse for a territory?

Go to Inventory → Warehouses (also under Multi Warehouse & Store → Warehouses in the plugins menu).

In the list, click Make default on the warehouse you want. The Default column then shows Default with a star for it.

Each territory has one default warehouse. Making a new one the default removes the flag from the territory's previous default, and warehouses in other territories are not affected. The Make default link does not appear on the warehouse that is already the default.