Thanks to the great folks at Ambi Climate for giving Ambi Bridge a road test. It looks like setting or changing the location is not so obvious to users. I will try to make it simpler in a future update.
For now let me explain the logic. HomeKit has a tendancy to forget room settings for accessories if there are changes to the bridge configuration. Consequently Ambi Bridge locks the location setting once it has been paired.
To change location, in the current version of Ambi Bridge, unpair from HomeKit, change location and pair again.