Where do Forgotten Beasts spawn?

You won't be able to prevent FBs from spawning. Basically, what I recommend is to think of, and treat, the caverns exactly like you think of the surface: as fundamentally an area outside your fortress that you need to manage your fortress's interface with in order to achieve security.

Then it proceeds naturally that the measures that you employ to be secure with dragons arriving on the surface are the same measures employed to be secure with flying FBs arriving in the caverns.

Walling off the ground-level edge isn't enough - you need to wall off the entire open spaces on the map, which usually includes a few spaces of 'open air'.

Given that this is impossible to do via the map edge constructions currently available (statues / bridges), you might be better off walling in your dwarves, rather than the entire cavern itself.

Map-edges touched by water are fair game for most forgotten beasts.