It looks like within the past 8 months or so that Facebook has changed to format of their data dumps to not truncate messages, as their previous data dumps were previously structured as one giant messages.htm file which would be difficult to parse and seems like it had missing data for certain cases.
I built a elasticsearch importer for fb messages and a simple web frontend that did this pretty well for many many megabytes of messages. Wouldn't mind cleaning it up if people were interested in using it. [edit: will upload here later: https://github.com/iainnash/messenger-explorer/]
2: None of this is being stored, beyond a cookie. Of course, you can call back to the server with that data, but the server has your IP address, which is where the location data came from.