It should be in /config along with the rest of the configuration files. If you have the Samba add-on installed, it will export this as the config share.
My setup was that I was migrating from Raspbian to hass.io.
I kept the z-wave dongle in the pi. After installation z-wave worked (except the Keyfob) I got events as expected. That was without a zwcfg*.xml file.
I did a network heal and a reboot, that created the file. I do not think the network heal is necessary, but I cant be sure.
I stopped the z-wave service, updated the zwcfg*.xml file, restarted z-wave and now everything is working as it should.
Furthermore, after adding a z-wave unit to the network you apparently have to stop the z-wave service before the new entry is added to the zwcfg*.xml file.