When I try to create a chat room in math, it is automatically created in Tex.SE. Is this because that is where I have the highest rep? Is there any way for me to create a room in the SE I am in instead of it automatically going to Tex.SE?
When you go to create a chat room, the parent site of the room to be created is defaulted to the parent site of your chat user. This can be found (and changed) in your chat user profile:
(Note that it may take a bit of time for this change to filter through the system.)
Note, too, that in the dialogue box to create a chat room you are also able to choose a site other than the default option:
Just click on "(more sites...)" and start typing the name of the site you want the room to be associated with.