I used to use no location as an option within notices as a custom field. However since location was made a default option on a version upgrade, I have removed my custom version, but that means there is not a way of managing notices to produce a notice when there is no location set. It feels like an oversight, so I've listed it as a bug rather than a feature request, as there is an option for no avatar and location is the one profile option I can't set a notice criteria against.
There has been an option to require users to enter a location on registration for a few years (it's further up that page).
You are correct that there is no criteria for targeting users who have or haven't a value here, but at this point it's intentional rather than a bug. We're not against adding it, but it's a feature suggestion so I will move it there.