A company's address can't be changed after it's added.
To correct an address typo or minor change mid-year, use the Use different address checkbox in Reports to override the company address.
If your new address is in a different tax jurisdiction, then add a new work location. You will need to manually combine the 2 different payroll histories in reporting.
If you only need to change the address for a form in Reports, you can click Use different address after selecting the form type.
Otherwise, add a new address to a company's Company Locations. All payroll runs saved to this new location will be saved separately in payroll history.
Don't delete the previous work location. If you have payroll saved to the old work location, you won't be able to access it if you delete the location.
You'll need to reassign employees to the new location, and create a new Payroll Definition for the new location.
Therefore if it's just a minor typo that needs to be fixed for a form in Reports, I recommend just using the Use different address feature.