It says select three locations all other locations are discarded from play.

Does that include locations in opponents decks?

You said it yourself. "From play". Cards in an opponent's deck (or yours for that matter) are not in play.

And in case your question was only unfortunately worded, the plot (like any other plot with a global effect like Valar Morghulis) affects both you and your opponents, so everyone has to discard all but three locations.