In short, it is just not intuitive because of the additional functionality with 'systems'. Pull up the location again (I think it was 125) on the locations app, on the main tab.
Click 'Associate Systems with location'
Click 'New Row'
Fill in the system you want the location to be in and then the Parent and click ok
This allows the parent to be in the correct system and supports multiple systems if you need to use it that way.