So the rules don't support it, and you'd need to decide on another location for each extra player, but has anyone tried it anyway?
I haven't tried it, but based on theory...
I think it's doable and wouldn't mess with the distribution too too much, but it'd start to eat more into the turns and exploration.
People would have to use all of their allies and blessings to explore, since there'd be 9 locations to deal with, and even in an average circumstance where the villain/henchman would be the 5th or 6th card down in a location deck, everyone would have to concentrate on finding it much more quickly, and as such, there'd be little to no aid in dealing with checks.
Also, with 6 people, everyone gets 5 turns. With 7 people, 5 would get 4 turns and 2 would get 5 turns. So in that average circumstance above, a person with 4 turns that doesn't get a chance to explore multiple times in a turn is more likely to never see a henchman/villain in his/her location whatsoever.
In a game with 6 people, on average, everyone, without extra explores, will find a henchman/villain in an individual location half the time.
In a game with 7 people, on average, only 2 people (2/7), without extra explores, will find a henchman/villain in an individual location half the time.
I have tried it, naturally. I didn't like it, so it's not supported by the game. Your mileage may vary.