Your code fails because of the .Select on the end, try removing that.

If all you're trying to do is copy all the column J values to the new sheet for the rows that have "Location" in column A, this is what AUTOFILTER was invented for. This method will filter the first sheet leaving only the rows with "Location" showing, then copy the column J values all at once to the Sheet2 in cell A2. No looping.

Dim LR As Long

Workbooks(ThatBook).Sheets("Sheet2").Range("A1:D1").Value = _
    [{"Location","Total Number of Covered Employees","Total Monthly Claim","Rate / Unit:"}]

With Workbooks(ThatBook).Sheets("Sheet1")
    .AutoFilterMode = False             'turn off any prior filters
    .Rows(1).AutoFilter                 'activate the autofilter
    .Rows(1).AutoFilter 1, "Location"   'filter column A
    LR = .Range("A" & .Rows.Count).End(xlUp).Row
    If LR > 1 Then .Range("J2:J" & LR).Copy _
        Workbooks(ThatBook).Sheets("Sheet2").Range("A2")
    .AutoFilterMode = False             'turn off filter
End With