If there is an active location with ZERO Progress Tokens, and the quest card has at least ONE Progress Token, does the Misty Mountain Goblin (after it attacks) remove the token from the quest card, or does it target the active location, and effectively removing no tokens?

Effects that remove tokens from the "current quest card" always remove them from the quest, and never from locations.

Active locations only 'intercept' tokens on the way to the quest card, but not when removing them?

I can live with that.

That's exactly right.