we did find a workaround, but not an easy one. We created a webhook trigger whenever a customer is at the checkout and a product fee has been generated. We then added the missing location(s) using a serverless function (triggered by the webhook) and the Shopify API. Unfortunately, in some cases this took too long, so we had to add an extra delay when the user clicked on "Proceed to checkout".
While this works I wouldn't recommend this solution. It makes the checkout slower and is quite a overhead for such a simple problem.
I think the MargeWorx team should really update their app to support multiple locations.