Learn Portuguese (Portugal): Penso que ele está no escritório.

Yes, absolutely! Acho que ele está no escritório means exactly the same thing. Achar is actually much more common in everyday spoken Portuguese when expressing an opinion or guess. Pensar is slightly more formal in this context, though still widely used.

In English we can say "I think he is" or "I think that he is". Can I drop the que and just say Penso ele está?

No, you cannot drop it in Portuguese. Whenever you connect a phrase like "I think" or "I know" to a new clause with a subject and verb, you must use que. Leaving it out is grammatically incorrect and will sound very unnatural to native speakers.

Why do we use está (from estar) here instead of é (from ser)?

We use estar because we are talking about a person's physical location. Even if he works at that office every day, his physical presence inside the building right now is considered a temporary state, which is a classic rule for choosing estar.

Why is it no escritório instead of em o escritório?