Locations is located under My Calendar > Locations.

My Calendar > Locations

Adds a new location.
Clicking the Update location permalinks brings us to the Settings > Permalinks screen. Here we can change the slug part of mc-locations to something else.

My Calendar: Setting Permalinks for Events and Locations.

Back in the Locations screen.

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

My Calendar: Locations quick edit

Here one can View, Edit, Set as Default or Delete the location.

Will show the location on the frontend of your website.

Will bring up the Edit Location screen to where one can edit the location.

Set as Default
Will when creating an event preselect the default location in the Event Location drop down.

Will remove the location.

Next: My Calendar > Locations >Add New Location