but when I transfer them to Photos on my Mac they don't.
How are you transferring the photos to your Mac?
Photos does not show locations for photos that have been hidden. Are you photos in the Hidden album?
Photos needs to be able to access Apple's servers to retrieve the locations, when you import photos. Do you have a Wi-Fi connection and no firewall interfering with the access to the location database?
Since the High Sierra upgrade some firewalls are no longer compatible with Photos. Which version of MacOS X are you using?
Check, if the GPS coordinates have been transferred to your Mac at all You can see this, if you export an image with "File > Export Unmodified Original" and then open the Info panel for the exported photo in the Finder. The panel should be showing the GPS coordinates.