Just bought a new home the back patio is sunken with no drain. I know I need to dig down and put a French drain out side of it. Where is the best place to penetrate the concrete and put a drain ie. Base of the wall, though the floor, ... ?
It really depends on what type of drain grate you want and what tools you have available to cut the hole. If you can rent a core drill that matches the drain grate hardware, you'll probably want to put it in the floor. It would be difficult to cut a hole in the wall tight against the floor (to allow complete drainage).
I'd find the lowest point in the floor, or as close to it as the drill allows if it's against the wall, and go there. You'll be able to excavate outside the wall and under the slab to that point fairly easily, I'd think.
I don’t think that a French drain will benefit your situation unless the issue is surface water flowing over the top of the retaining wall. If that is the case, then it might help, but you would not want to connect a drain inside the sunken area to it as it could actually allow water to enter the lower area.
A French drain is simply a tench filled with gravel (may also include perforated pipe) that directs water away from one area to another area.
If you want to get water out of the sunken area, you want to add a drain and pipe it to a storm drainage system, or depending on ground drainage conditions, pipe it to a dry well.
The main issue when dealing with unwanted water is finding a place to put it. A French drain is a way to move it not a place to put it. I think you should make sure that you know where you are going to redirect the water to before going any further. As for how or where to add the drain itself, see @isherwood's answer.