Change fonts only for korean characters

Well, no, the suggestion was to write a GREP for the Latin text only. You can do it in either direction, by specifying Unicode ranges. For example, if you want to just capture Latin-script letters only, it'd look something like this:

[\x{0021}-\x{00FF}]+

To capture only Hangul ("just Korean text") would look like a much more complicated regex, but all you'd really be doing is specifying only the Unicode ranges that contain Hangul glyphs. That can get kind of long, and you can get into a bit of a design spiral when you're deciding exactly which punctuation you want to source from the Latin-script font and which you want from the Korean font. Since my files tend to be one-language files, I can just specify "everything outside of ASCII" like so:

[\x{0100}-\x{FFEE}]+

Note that this excludes a few characters at the very end of the Basic Multilingual Plane. One of 'em (U+FFEF) has special purposes in InDesign as the placeholder for things like anchored objects or hyperlink destination, so I've excluded it from my query on purpose. 

But, it's not hard to build language-specific regular expressions for use in InDesign. I shy away from it because, while it's not hard to specify the range for e.g. Greek, things get trickier when someone wants to use this Unicode-value GREP-based system for finding Traditional Chinese, or Simplified Chinese, or Japanese... or all three. That doesn't really work all that well. Likewise, trying to explain Han Unification in a single post, that doesn't work all that well either. Capturing only Korean, by itself, would be quite a long query.

So I, speaking only for myself, think that the regex for just Latin-script text is the easiest thing to do.