My current theory is that the S.M.G. and the S.M.R.E. were co-located in the same building. Before the war, the S.M.G. was quite small and more of a secretariat than a functional headquarters.
Ceva in his La condotta italiana della guerra has a diagram of the Comando Supremo office (yes, a single room, p.35) in 1942. In that room are all three reparti of the S.M.G. That got me digging through the documents that established the S.M.G. In the original document authorizing the S.M.G. (Legge 8 giugno 1925, n.866 also found in Ceva pp.129–132), Article 7 states 'For the execution of the studies and the issuing of the provisions inherent to his assignment, the Chief of the General Staff has the General Staff of the Royal Army'. In the Section "Del Consiglio dell'esercito" it states 'The Army General Staff is directly dependent on the Chief of the General Staff for the execution of the functions referred to in the previous art. 7'.
As the S.M.G. depends on the S.M.R.E. to provide the staff work for the office, it would make sense that the S.M.G. is co-located with the S.M.R.E. It would also explain why a location for Comando Supremo is not mentioned.
Pista! Jeff