How does one properly hyphenate compound adjectives that are locations?

To be honest it doesn't matter much. In day to day usage of English, nobody really cares about it. If you want to mean "Denver-Colorado-based Company" just use instead "It's a company based in Denver, Colorado" to avoid confusion for the reader while writing.

A short, clear answer:

No, "Denver, Colorado-based company" is not used in writing in English about U.S. cities and states. What is used is: Denver-based company or Colorado-based company

For city and state, the standard practice is:

a or the company based in Denver, Colorado

No other standard way of writing this exists.

This page https://www.btb.termiumplus.gc.ca/tpv2guides/guides/wrtps/index-eng.html?lang=eng&lettr=indx_catlog_h&page=9i1w-l02pVjM.html makes a fine case for saying Do not hyphenate proper nouns used as adjectives, as for intance a New York State chartered bank but then how should we distinguish between a charterer bank which happens to be located in New York State and one located anywhere but chartered by NYS?

How are locations such as those not postal addresses; like lists or headlines exempt from normal rules?

If your options are as posted then Denver, Colorado-based. Since you're here, is it clear that both Denver-based or Colorado-based should work?

From the point of view of the sentence, there’s no difference except ease of use between a Colorado-based company and a Denver City & County Building, City Hall, 1437 Bannock Street, Denver, CO 80202, USA-based mouthful. It’s just that one is simple and the other awkward.

It is sometimes suggested to use an en dash in place of a hyphen when the first element of a compound modifier contains a space. See the example

North America–based company

from Peter Shor's answer to the question How do I hyphenate an open-form compound word with another that should be hyphenated?

I would thus recommend punctuating your examples as "Denver, Colorado–based" and "Mountain View, California–based company" (if you choose not to rephrase).

That said, a few caveats.

1. Some people apparently feel that you must rephrase. (That's my understanding of Lambie's answer and comment.) To me, that seems like a challenge to your question rather than an answer in and of itself, but I guess I can emphasize this point a bit more to make sure that you're aware of this possible objection to any of these forms. I didn't write much about it in older versions of this answer because I haven't found any sources that say that it is unacceptable to use a name like "Denver, Colorado" as the first part of a compound adjective ending in -based.

2. I'm not sure exactly what the history of using the en dash this way is, or how widely this usage is accepted or recognized. In a discussion from 2014 about the Wikipedia style guide, Tony writes ("Reasons for my oppose (proposed change 2)") that

   Using an en dash with exactly the same meaning as a hyphen, but in special contexts, is almost exclusively a US invention – and a recent one at that. It first turned up as an option in CMOS12 (1969), where the examples (at 5.91) are all with prefixes ("post–Civil War period") or have two more or less equal elements combined ("New York–London flight"). There's no mention of suffixes, or examples of such a use, though prefixes are specifically mentioned in Table 6.1, with examples there and at 5.91.

   [...] Only with CMOS16 (2010, current edition) do we get two suffix examples (at 6.80). The first three examples in that section: "the post–World War II years" "Chuck Berry–style lyrics" and "country music–influenced". [CMOS introduces these by saying] "it should be used sparingly, and only when a more elegant solution is unavailable"