VSL's Dorico Wizard: anomaly, bug or my memory?

Yes the end point configurations are saved in the directory you mentioned.

I was wondering however why you make separate playback templates for each library you have. You can add all in one playback template in the wizzard and even when you only have strings in your piece only those instruments will be loaded. On the other hand if you have e.g. WW, Percussion and Strings in your piece and try to apply first a WW then a Percusiion and next the strings playback template you will most probably end up with only the strings having VST instruments linked. To get all linked you have to use a template with all instruments in.