Hi giovannicanziani, I am Paulo, an Independent Advisor willing to help.
I understand that you have privacy concerns. That option must be the location for the weather updates and not your physical location. The window that's popping up on your taskbar is the News and Interests. It uses the content from MSN.com to display what's on that window. If you don't want the option "Always detect my location", you can always choose the option "Specify location" so the Weather app can display updates on that specific location only.
Here's how:
https://www.tenforums.com/tutorials/179219-how-...
(Disclaimer: Tenforums is a non-Microsoft website but the page provides accurate, safe information. Watch out for ads on the site that may advertise products frequently classified as a PUP (Potentially Unwanted Products). Thoroughly research any product advertised on the site before you decide to download and install it.)
If you choose to disable the News and Interests, you can right-click on your taskbar > News and Interests then select Turn off
Let me know if this helps and if you have other questions. :)