If you wish to change locations for the keywords you're currently tracking, you will have to delete the keyword and re-add it with the new location.
(There is currently no option to just edit the location .)
To delete the keyword, check the box beside it. The "Delete" button will appear:
In this case, all historic ranking data for the keyword will be lost.
Rank Tracker will begin tracking again from the moment you re-add this keyword with the updated location.
Similarly, if you wish to add another location for any of your tracked keywords, you will need to add this keyword again with a new location:
As you can see, in this case the number of tracked keywords gets multiplied by the number of locations you track them for: