In HR1 it is implied that it is set in a UK town in certain scenes/lines as well as fact the house real location is in UK.
Then in HR2 they switch this to US by including US cops as well as new US locations.
Not watched in many years and don't remember if I noticed this before until now.
The first movie was filmed in the UK, but it was never specifically stated where it was. I think that was deliberate, because they thought it would appeal more to American fans if they thought it was set in the US.
The actors used American accents, for example. But a lot of the things in the background would place the setting as being somewhere in the United Kingdom. It was all a bit of a mess, really in terms of where the movie was set.