Once a player has discovered all the clues on a location does the location immediately go into the victory pile? Or do you need to spend clues in order to purchase the card to be placed into the victory pile? I've played through the first scenario and I am sure I do not have all the rules down but that was the first question I had that I couldn't find in the rule book.

The location will stay out, but at the end when scoring you'll add the victory points for all locations that have no clues on them.

Edit:

It's the second bullet point under Victory Points in the Rules Reference:

At the end of a scenario, place each victory point location that is in play, revealed, and with no clues on it in the victory display.

Removing the location immediately would be problematic, since there is at least one investigator there (and there might be enemies as well). Where would they go? Fortunately, SuperMarino's quote clears it up (it's on page 21 of the Rules Reference - in English, the page might be different in other languages).