Can we set up Geofencing in multiple locations for employees?

Yes, You can setup Geofencing in multiple locations for employees in two ways:
1.One by One
Go to Employee Directory > Action > Edit employee details.

Go to Access Details > Attendance From User App > Allowed Attendance Locations > Select Locations.
You can select multiple locations for Geofencing

2.Bulk assign
Go to Employee Directory > Bulk Edit > Allowed Attendance Locations Column > Add Multiple Locations Separated by a comma.