This song could be confusing to anyone not familiar with Toronto as that is where all the places are. Kensington Market is a bohemian market area that was very ethnic when this song was written but is now more of a hipster hangout. The Palm Grove Lounge was a somewhat seedy downtown bar that had many greats there as live entertainment.
The Henry Moore of the title is a statue called The Archer that is in Nathan Phillips Square, an area in front of Toronto's City Hall. The square has a large reflecting pool that is turned into a public skating rink in winter.