Yes, exactly. As you say, it's the difference between the comma and the 'dot' ( full stop/ period). It depends whether you have one sentence or two. 'Seven of them are located in Bangkok, the capital city.' is a self-standing sentence. It refers back to the previous sentence, but it is only dependent on the previous sentence for its meaning, not its grammar. Grammatically, it is independent. There are ten universities in Thailand. Seven of them are located in Bangkok, the capital city. 'Seven of which are located in Bangkok, the capital city' is not a sentence and it cannot stand alone. Grammatically, it has to be part of the sentence beginning 'There are ten universities in Thailand'. There are ten universities in Thailand, seven of which are located in Bangkok, the capital city.

We use 'which' there because it is written as one sentence. If you write it as two sentences then you can use 'them'. There are ten universities in Thailand. Seven of them are located in Bangkok, the capital city. There are ten universities in Thailand, seven of which are located in Bangkok, the capital city. I hope you see the difference.

You can use both, but here is the difference: In "seven of them" - "them" (их) is an object pronoun. You must write this as two sentences. {There are ten universities in Thailand. Seven of them are located in Bangkok, the capital city.} (В Таиланде есть десять университетов. Семь из них находятся в столице, бангкоке.) In "seven of which", "which"(который) is a relative pronoun (относительное местоимение). Therefore, this sentence has an independent and relative clause, divided by a comma. {There are ten universities in Thailand, seven of which are located in Bangkok, the capital city.} (В Таиланде есть десять университетов, семь из которых находятся в столице, бангкоке.)

It may be someone being very particular (or perhaps very British) about grammar. The first version is certainly used in common speech, and to me would be the most natural option.

I agree with Gary. You can use both forms.