How to keep location thought navigation

Hi all,
Would like to understand more about Location concept.
Previously, on GeoTheme, once multi_city was defined by users, the value was kept all along navigation.
Apparently it is not with GD.

Namely:
if you define your city with help of Location Tab Switcher (in Navigation menu), and navigate on the site (forum, blog,…) and then follow your own-defined link : mywebsite.com/places, you got back to “Everywhere” as location (Unless you are using pre-set GD navigation menus).
Does it mean you HAVE ABSOLUTELY to get through the Location pages and GD navigation menus to force the location to be kept?
Then, I don’t understand the point to have shortcodes with add_location_filter as a parameters, since any pages you can create with shortcodes will end in an “Everywhere” as location.
Does it means also that you can’t change your location directly on Listing pages, without going back to the location page?

Thank you in advance for your explanation.
Cheers,
JJJ