Config split settings file generated into split directory
Have you checked the $config_directories array in the settings.php/settings.local.php files.

It might be a good idea to explicitly set it via config as per https://www.drupal.org/docs/8/configuration-management/changing-the-storage-location-of-the-sync-directory:

$config_directories[CONFIG_SYNC_DIRECTORY] = '../config/sync';