We are deprecating and removing the Location History feature, an API that allowed Cortana to access 24 hours of device history when location was enabled. With the removal of the Location History feature, location data will no longer be saved locally and the corresponding settings will also be removed from the Privacy & Security > Location page in Settings.

Huh. Very much did not expect them to do this, specially the bit about no longer saving it locally.
Wonder if they’re saving it online instead?