Locations is located under My Calendar > Locations.

Update location permalinks
This option only appears if there is no value currently saved for the location permalinks. The default is ‘mc-locations’. Clicking Update location permalinks takes you to the Settings > Permalinks screen. Here we can change the slug part of mc-locations to a custom value.

Quick edit actions
Using the mouse button to hover over the location will bring up the actions area.

One can View, Edit, Set as Default or Delete the location.
View
View will show the location singular page on the front end of your website. If you have a Google Maps API key and the location has sufficient information, it will show a map to the location. The default singular location page also shows a list of upcoming events at that location and the location’s address. The available accessibility features are also visible here, if selected.

Edit
Will bring up the Edit Location screen to where one can edit the location.
Set as Default
When creating an event, the location field will be preset to this default location. Strongly advised if you have only one location – location is a required part of Google’s structured data for events.
Delete
Will remove the location. Removing a location automatically updates any events referencing that location.
Edit Location
Clicking to edit the location will show the edit screen. With a Google Maps API key, you will see a location map at the bottom of the Edit Location screen.

Update GPS Coordinates
Adjusting the location and clicking the Update GPS Coordinates checkbox will update the map along with the rest of the location information on Save Changes.
Using a shortcode to view a location
There are shortcodes available to create lists of locations. The shortcode , for example, will show a list of locations sorted alphabetically by country. Sorting options are name, city, state, zip, country and region.[my_calendar_show_locations sort="country"]
Here is a front end example of the Locations List:

The location shortcode also accepts a template parameter. The template parameter can adjust how the list is displayed. If no template is passed, the hcard will be used, as shown below. You can also pass map to show a map with all locations included on it.
Any other template should contain My Calendar template tags with location values, and will be custom output.
Supported Template Tags
{id}, {label}, {street}, {street2}, {city}, {state}, {postcode}, {region}, {url}, {country}, {longitude}, {latitude}, {zoom}, {phone}, {phone2}
Next: My Calendar > Locations > Add New Location