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The reason is that naa.na is constructed with the locative: knowledge about
anvaya connection or joint presence (as opposed to joint absence) of the
invariable characteristics of the khandhas, at present in the past and in
the future.
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< So 'anvaya' is what the knowledge knows, and 'anvaye ~naa.na' is
knowledge about anvaya, is that right?
Yes! That is correct.
< Does this usage of locative apply to the following sentence too?
I don't think so. The function of the loc. in this particular case is to
indicate the cause of something: wisdom from contemplating the alteration or
change of present things (dhammas) and so on.