Hi there!
It looks like the one you are looking at is the new Outlook app. If you're using the new Outlook for Windows, this behavior is expected. Unlike classic Outlook, the new Outlook is a Microsoft Store (MSIX) application rather than a traditional Win32 desktop application. Because of this:
The Open file location option is not available from the Start menu.
You won't find Outlook.exe under: C:\Program Files\Microsoft Office\root\Office16
If your goal is simply to identify the installation path, you can also use PowerShell then paste the command below:
Get-AppxPackage Microsoft.OutlookForWindows | Select InstallLocation
For the Outlook.exe if this is the Outlook classic, just use the search bar on your windows or press windows key and type in Outlook classic. You should then see the app and option to "Open file location".
I hope this help to clear things up!