Figured it out:

= (Location,SectionNr) =>
let 
    Sections = Text.Split(Location,","),
    SectionValue =  Sections{SectionNr-1}
in 
    SectionValue

The problem was that I was [] brackets instead of {} brackets. Also because the list index start from 0, and I prefer to send the SectionNr as 1-n, I just subtract 1 from the SectionNr.