This is how you should create a parquet ext file format., i dont see anywhere location should be mentioned in the microsoft documentation. Can you correct your syntax and try once?
--Create an external file format for PARQUET files.
CREATE EXTERNAL FILE FORMAT file_format_name
WITH (
FORMAT_TYPE = PARQUET
[ , DATA_COMPRESSION = {
'org.apache.hadoop.io.compress.SnappyCodec'
| 'org.apache.hadoop.io.compress.GzipCodec' }
]);