The 1939 set-up listed on the OOBs is silent on the units that have no location listed. The rule book does not have a 1939 scenario listed, as well as any special rules i.e. the minimum number of German units need to be set up against Poland, how is Poland supposed to set up, etc?
You set up with only stacking limits and keeping the units inside their national borders. In older times this was known as "free set up". Note that some of the units have a specified location.
So, the three Polish suits are set up in non-Russian Poland, however you see fit, at the strengths shown on the set up card for 1939. The British and French and German units are set up the same way (only limited to their respective countries).