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This support is now available in version 1.1.8.4 dated April 2020.
We will provide an option on 5250 Session Manager to open the location of the configuration files: File->Open Directory
From there, you can create a shortcut (on Windows) or an alias (on Mac) and move it to the location of our choice.
This is planned for our April 2020 update.
IBM has received this requirement and is evaluating it. A response will be provided when evaluation is complete.
another option is to add to the right click an option 'open file location'
under windows, the attended effect is opening the explorer. From there it is so easy to create shortcut, copy, remove, change, ...
under other system, no idea