As I sort of mention in the OP, they did, and yet they didn't.

They visit a bizarre, and presumably English, city called Londinium in a three part story in the third season ("The Londinium Larcenies", "The Foggiest Notion", and "The Bloody Tower") . They visit Ireland Yard (rather than Scotland Yard) and Barnaby Street (rather than Carnaby Street) and there is a reference to a First Minister, rather than a Prime Minister. (Though the Scottish Parliament now has a First Minister)