There's a location that lets you lay down a conspiracy piece from any pile without moving your hero marker...if you choose a piece from the baggage or favor pile to you get the associated token with it?

I would imagine not as otherwise whats the point of going to locations that can garner you a favor when you can get any favor plus lay down a piece as well.

My own view is that you would still get any benefit associated with the tile chosen. I can't find anything in the rules to contradict this position.

Remember, You would have to spend a favour to get a favour from the 2nd pile of conspiracy tokens (I'm assuming at Broadcast Square) also, you can only visit each major location once per turn.

Regards

Nhoj

As Nhoj says, you get the benefit from the piece you reveal, so if you draw a favor conspiracy piece you get a favor of your choice and so on.
And as it is pointed out, you will not be able to use the same location more than once per turn, so yes you can get to the bagage faster once every turn, however you will not be faster in putting down conspiracy if you only do this.