Moving a character doesn't grant them any special protection (in other words, you don't have to destroy the Location before attacking a character at that Location, or anything like that), but some cards have special abilities keyed to them moving to locations
Disney Lorcana: The First Chapter Gift Set Swipe to scroll horizontally This pack doesn't get you a ready-to-play deck, but it does include two oversized, collectible foil cards and two regular-size playable foil game cards of Mulan Imperial Soldier and Hades King of Olympus
Players Fear Maxx "C" Maxx "C" was banned in early 2018 in the TCG, where it has remained to this day
This is a bit harder to pull off in Commander, but Superion definitely has to be played in your Goreclaw, Terror of Qal Sisma decks, doesnt it
It was banned in a different era of Pauper, before Commander Masters and Modern Horizons 3 released, and the format has sped up considerably since then
#4 I have the same experience with Victimize