Your understanding is correct 
North-South:
Green segments go to public (internet) via T0 on Location-C, Blue segments go to public (internet) via T0 that resides on Location-A
And this wherever location the Blue or Green VMs are.
East-West:
The router attached to the Segment is distributed.
So for instance
- The Location-B_VM_Blue_TopSegment talking to the Location-B_VM_Blue_BottomSegment will have its L3 traffic in Location-B only
- The Location-A_VM_Green_TopSegment talking to the Location-B_VM_Green_BottomSegment will have its L3 traffic between Location-A and Location-B (not Location-C)