If you turn off "Ask for location" in settings, then it will be off for all existing and future sites.
If you want some sites to know your physical location you will need to leave it on, and then allow/deny sites on a per-site basis - you can clear all data and start again.
Note that Location settings are different to the "Do Not Track" header, which is related to the cookies that are accepted or rejected by the browser.
MS announced that they were enabling DNT by default in IE 10, which apparently prompted many sites to announce that they were going to ignore the header when received from IE10 as they couldn't accurately determine if the user had explicitly set it.
In the desktop version of IE 10, you can configure the "Tracking Protection" settings from the Settings | Safety | Tracking Protection... menu.
More details about this are available from:
Tracking Protection Lists