Amend description of menu location in customizer WordPress

by

You need to be modifying a section not a setting.

Try this:

add_action( 'customize_register', function( $wp_customize ) {
    $section = $wp_customize->get_section( 'menu_locations' );
    $section->description .= "<p>Custom HTML added.</p>";
}, 12 );

The priority of 12 is used because \WP_Customize_Nav_Menus::customize_register() happens at priority 11, and this is where the section is added.