Each segment has specific locations associated it. These are the locations that appear during campaign set-up, for you to select from for that particular campaign.
You can add or remove the locations in a given segment in the Segments tab. This is useful if there's a location you don't want to have to de-select during campaign setup every time. OR, if you've added a new location, and want it to be included in future campaigns to that segment.
To do so, click the Segment tab.
Click Edit next the segment.
Click the locations under the segment.
Select / de-select the locations you want. Click the gray X in the upper right corner when you're done.
Click Save and Exit when you're done.