Moving a character doesn't grant them any special protection (in other words, you don't have to destroy the Location before attacking a character at that Location, or anything like that), but some cards have special abilities keyed to them moving to locations
Despite the effect of transforming Battle being a triggered ability , its controller exiles the permanent and then casts it without paying the mana cost , opening up space to interact with Battle on the stack with Make Disappear, or other counterspells, or even to bounce them on the stack, with Venser, Shaper Savant and the like
It's only been printed once, in the Ikoria Arcane Maelstrom precon deck, led by Kalamax, the Stormsire, and I've been a fan of Curious Herd for a long time
Key Cards Dion, Bahamut's Dominant / Bahamut, Warden Of Light The commander of the deck, Dion, Bahamut's Dominant is great Knight support, giving them all flying during your turn