The error message is actually pretty clear in describing exactly what the problem is.
You're trying to add a foreign key that says "For every Team Name and Location in the Player table, there must be a matching Team Name and Location in the Team table".
The error message is explicitly telling you it can't add the constraint because this is not the case: there is a Team Name and Location in the Player table that DOES NOT exist in the Team table.
A query like this should list out the rows that are the problem... and you'll need to add rows with these Team Names and Locations to your Team table (or delete these rows from the Player table) before you can successfully add the constraint:
SELECT *
FROM dbo.Player p
WHERE NOT EXISTS (SELECT *
FROM dbo.Team t
WHERE t.Team_Name = p.Team_Name AND t.Team_Location = p.Team_Location)
Additionally, a Foreign key reference must reference a primary key index. Since the primary key in this case is on the first and last names, rather than the team name and location, it can't apply the FK constraint. It needs to do this so it can do efficient look-ups and have uniqueness guarantees in order to validate the constraint.