Hello!

We had two Captured Watchtower in play after we had crossed the Anduin river

Its card test reads; if the players have crossed the Anduin, Captured Watchtower gets +3 Threat.

So since you have two locations it should buff eat other as well leaving them at 7 threat each?

At least that’s how we played it

No, it only affects itself. 4 threat each. If it were going to affect each copy of Captured Watchtower, it would say so: "...each copy of Captured Watchtower gets +3 threat." There are player cards that work in the same way: Longbeard Elder gets -1 willpower if he peeks at the encounter deck and the top card is not a location. But it's not EACH copy of Longbeard Elder who gets -1 willpower, only the one whose Response you triggered...

nope, each only buffs itself so it would be 4 threat each at a total of 8 for both locations

I believe the FAQ entry you are looking for is 1.31

(1.31) Self-referential effects

If a card refers to its own title in its text it should be read as referring only to that copy of the card. A card that refers to other copies of itself will use the language “any copy of...” or “another copy of...” or “a card with the title...”