You do need an "is" in your sentence. "The information I need to know in which building is the class held" is definitely incomplete. The "is" is part of the direct object - there's no main verb.

SUBJECT: The information that I need to know

PREDICATE VERB: (is)______

PREDICATE NOUN: (the question itself: "In which building is the class held")

You do need an "is" in your sentence.

The information I need to know in which building is the class held.

Is definitely incomplete. The "is" is part of the direct object - there's no main verb.

SUBJECT: The information that I need to know

PREDICATE VERB: (is)______

PREDICATE NOUN: (the question itself: "In which building is the class held")

Therefore,

The information I need to know is in which building is the class held.