Where should I finish "A Dam Fine Rescue"?
Apparently, there's no difference.
You still get the same amount of exp and always 4 Eridium.
The only difference is that a supplementary objective to "destroy loaders" will also arise after you kill W4R-D3N, so if you want to farm a bit more exp or weapons let the timer run out and save Roland from the second location.
By the way, this mission is "a dam long rescue", so I always prefer to save time and end it as soon as possible.