Can you still use Steed of Imladris if there's no active location, just for the discard? Likewise, if the active location is immune, can you still use it just for the discard? (Obviously no progress placed in that case.)

Seems I can as the only real condition is hero commits to quest, but not sure.

No, in the first case. The Rules Reference states that to play a card or trigger a card effect, the game state must change beyond the cost being paid. In other words, you can't pay to do something that has no affect. However, if you can only fulfill a specific part of an effect, you can still do that part of it even if the other cannot be resolved. From the Ability, Card Ability section:

"A card ability can only be initiated if its effect has the potential to change the game state. This potential is assessed without taking into account the consequences of the cost payment or any other ability interactions."

I would say no for an immune location as well, but I'm less sure in this case. You don't actually begin to target the location until after you pay the cost. I'd still go with no, though.