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The figure caption states that the red part is the Hajnal line. The red part has two sides.

In their effort of calling it a line they made it complicated to see. They should've just highlighted the zone or something.

But this image has less information. What about the boundary between south Italy and Greece, that are delimited by the blue line?

It doesn't exist. Southern Italy and Greece are both outside the Hajnal region.

And then why is this boundary drawn on the wikipedia article?