It resides at the center of the galaxy along with Galaxy Cauldron and Cosmos' Castle. Sailor Moon, Sailor Chibi Chibi Moon, Princess Kakyuu, and the Sailor Starlights started a journey to Sagittarius Zero Star in the manga Act 47 Stars 5 to confront Sailor Galaxia. But due to problems on their way only Sailor Moon and Sailor Chibi Chibi were able to make it.
Stars are born within the Cauldron and when they die they return to the Cauldron. Stars are recycled and reborn there and Senshi Crystals are created through its Lambda power. The Lambda power is the true form of the Cosmos Crystal.
The name Sagittarius Zero Star is based off of the name Sagittarius A* which is the actual name of what astronomers believe to be the location of the center of the Milky Way Galaxy. It is also believed to be the location of a supermassive black hole (which is probably what the Galaxy Cauldron is based off of).