Importing events - location
The address is stored in an Address entity.  You then create a LocBlock entity that links to that address ID, and the event references the loc_block_id.

This is a bit tricky to do with the CSV API Import GUI because it only supports importing one entity at a time, as opposed to using API Chaining.  There are several approaches that support API chaining but unfortunately they're all significantly more complicated than API CSV Import GUI.

If you'd like a manual method:


Note the max ID in civicrm_address (SELECT MAX(id) from civicrm_address).
Import your event addresses.  Note the new max ID.
Note the max ID in civicrm_loc_block (SELECT MAX(id) from civicrm_loc_block).
Create a spreadsheet with a list of new address IDs only.  Import that as a LocBlock entity, mapping to address_id.
Note the max ID in civicrm_loc_block.
Paste the loc_block_id into your original event spreadsheet as a new column.  If you successfully imported all addresses in the same order as they appear on the event CSV, your loc_block_ids should line up.
Import the events.