In the web server access logs there is no corresponding entry but I am sure I have seen recently that somehow a connection to the web server is being established before it is dropped again.
Yes, the Location Block applies to both the INPUT and FORWARD chains. So, if the Location Block is enabled, traffic from blocked countries will be dropped in both the INPUT (traffic directed to the firewall itself) and FORWARD (traffic passing through the firewall to internal networks, like RED to ORANGE) chains.
Although, if you use firewall rules in combination with location groups, you can tailor this to your liking.