I believe the Location column is empty because it isn't relevant when you're just viewing the Threads Pane (message list) of a folder - the Location is highlighted in the Folder Pane. But if you select a message that e.g. is part of a thread, with elements in the Inbox and Sent folders, then Message/Open in Conversation, the Location column displays the folder name for each message. Similarly, if you search from Edit/Find/Search Messages, the Location column displays the folder in which a search result is stored.

Thank you.