Yes, one unit at each location in every square in the cardinal direction chosen! This will include surface and subsurface of sites, as well as the void. Beware the evil eye!

If I choose to do 2 damage at one location, do I need to do damage at all the locations in that cardinal direction?

Yes. If you choose to resolve this effect, you must deal 2 damage to one unit at each other location in the chosen direction.