As long you're in a territory where communications laws are adminstered by the FCC (any US territory), you can operate as normal. Using W2MJR in his USVI example, you do not need to sign KP2/call when there, as it's a US territory. If you were to operate an HF dxpedition on the USVI, you would sign call/KP2 to indicate you were in the USVI to DXers.
You would, however need to sign ZF/call if you were to operate in the Caymans, though.
Again, research the requirements before going! Follow Mike's link.