There are instances when Location field is displayed on the header but hidden on the line level of an Expense Report. When Location is exposed on an Expense Report Saved Search, the line level Location is blank.
The Location at the line level is controlled by the Employee's Location. This can be found on Employee Record>Main tab under the Classification section. The Location at the header of the Expense Report does not pull down to the line level. Therefore, even if you select a Location at the header and the Employee does not have a Location assigned then by design the line level will have no Location.