I have reported this to the developer after testing on my site. It seems if you edit an individual location and un-check the featured , that is not being saved as you mentioned.
But , as a work around, I tested the Bulk actions filter and when I used the Bulk action filter…”Stop featuring location” and checked off only the locations I wanted to stop featuring and then hit the apply (Not apply to all, be careful on that) that does work.
The developer will be fixing that bug this week. Once he fixes the bug you may want to Update SLP and the Experience add-on to current versions.
Sorry for the inconvenience.