The location information function finds your current position using GPS (*1) or a wireless network (Wi-Fi).
Using GPS allows you to find your position accurately, but the process may take some time. Using a wireless network allows you to find your position quickly, but accuracy may vary.
Using GPS and a wireless network together allows you to make the most of the merits of both methods.

^(*1) GPS stands for Global Positioning System. GPS satellites emit positioning signals toward the earth, and your Walkman uses those to display your current position.