Where is the configuration actually saved in the system?
Nowhere, most of configuration is located in database including webform.

With config module, you may find webform configuration in admin (yml) : /admin/config/development/configuration/single/export

First, select webform in configuration type, then the configuration you need to export.

NB : have a look at sources https://github.com/drupalprojects/webform/blob/8.x-5.x/src/Entity/Webform.php , most of drupal contributions are built the same way, webform extends ConfigEntityBase and these are typically stored in database (config table as a blob)