This is similar to Yahoo's old Placemaker and a few other services out there. Extracting locations is quite tricky.

I tried "St Francis near the statue of liberty. Going to new york to see the queen." but it gave a zero results result.

Try this: St Francis near the Statue of Liberty. Going to New York to see the queen. You have use small caps, we are sensitive to small caps :)

What data does this use for locations? And what is the license for the results?

We have use open data: Census, OSM, geonames... so the data is open: http://opendatacommons.org/licenses/odbl/ If do you have any more info let me know.