Location taxonomy is available for Item custom post type, each Item post can be assigned to one or more Locations.
To add new or find your created Location navigate to Items > Item Locations via main WordPress menu.
For each Location can be defined name (title), parent of Location if you are creating parent-child hierarchy of Locations and also description text which can tell more about created Location in short.
Locations on the frontend
Locations can be displayed on the frontend using Directory Locations List. Find more information about block in Directory Blocks documentation page.