Locations refer to little events that you get at various points within the Heartscape; there are usually two per map, with several exceptions later on. These are extremely missable; you are to do these as soon as possible or risk missing them entirely. Getting all of these grants the Heartscape Exploration Squad Trophy/Achievement
The first two can be missed very easily, do not leave the map without getting them. The right one is up the ladders.
Worry not; that one closest to the entrance requires Mio, so just advance the plot to get her.
Be sure to take the left path first; fighting the boss makes the location go away.
You will come back for the very last one later. I believe the timing is somewhat lenient, and you can swing by during the boss rush, but make a safety save before taking me at my word.
The telescope is extremely highly missable; do it before unlocking the boss, even. I would guess the other location here is about as missable.
Yuzu & Lime
Note: There are TWO locations at this point in Central. The second will appear after progressing the story more, be sure to come back for it. It is viewable after unlocking Ao's heartscape.