So this is kind of specific, can't think of how many other situations it could even matter in- BUT:

If I were to travel here

http://www.cardgamedb.com/index.php/lotr/lord-of-the-rings-card-spoiler/_/a-shadow-in-the-east/the-city-of-ulfast/guarded-archway-r2766

Resulting in an immediate attack from the city guard, have I already travelled there with it being the active location? Or is that not done until after the attack is fully resolved.

The reason I ask is because I got the shadow card that makes you have to resolve the travel action on the active location, which in this case would be irrelevant if the location wasn't there during the attack, but potentially game ending if it was.

The Travel cost has to be paid in full before you can travel there. So in this case you'd have to first fully resolve the attack then travel. The shadow effect you mentioned would whiff in this case.