Does the location of the immigration office matter?

Solution 1:

I was always under the impression that it does not matter, though I don't have a reliable source that directly states that.

The official and inofficial documentation does not mention the impact of its location. Since it does mention the location for various other buildings for which it is in fact important, I'd assume that the place really does not matter.

In my games I did not observe different behavior with different locations, except for the usual impact on getting people to work in there (which applies to any building, obviously).

Solution 2:

While one could argue that it's good roleplaying to put it near the docks, migrants never actually use the immigration office- at least I've never seen them do so. The only people who ever do travel there are the bureaucrats who work there.