You don’t need to shoot your video on a Hawaiian island to be effective – not that it would hurt! You should use a setting that provides a good environment for communicating about the product you’re reviewing. If you’re reviewing a trail running shoe – why not do it on the trail?
A surfboard? Do it at your local spot (not your secret spot, of course). Of course, you can just sit in your bedroom too if your product insight is strong enough – but a setting that highlights your product in context is almost always a plus.