Display a message to user for empty user fields
This solution may be less performance happy than preprocessing (or not, it's difficult to say depending on caching etc), but I thought I'd be good to throw it out there since it's a "no-code" solution. 


Create a Views with Block display listing users
Filter according to Location field Is empty to show only users who don't have it filled in
Add a Contextual filter for the user ID and set it to the current user, Hide Views if it doesn't validate 
Add Custom text field and enter your message to be shown
Add the No results behaviour, this may need some thinking around how to handle the cases when the uses do have the Location field filled in
Place the block in as many regions of your theme as you need, and configure each Block visibility so it makes sense for your cases
Don't forget to also configure the Block contextual filter settings