Cards placed in setup are considered to be already in play when the game begins, so they do not trigger any "enters play" abilities.
The location cannot be discarded from play. It can still leave play by any other means: it can be sacrificed (Sea Bitch + The North Remembers), returned to hand (Scaling the Wall), placed on top of the deck (Raiding the Bay of Ice), or removed from the game.
If the location changes control (e.g. via Dagmer Cleftjaw), it is still protected by the agenda.
- If the location leaves play and subsequently enters play again, it is no longer protected by the agenda (the agenda loses track of "that card").