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I think I got it.
I extracted the appImage (using --appimage-extract switch) and can execute it running the "AppRun" program
This time when I click "Help -> Show Configuration Folder" it launches my file manager (Dolphin in my case) in the "$HOME/.config/cura/5.4" AND "$HOME/.local/share/cura/5.4"
For anyone else coming here in the future, the answer is "$HOME/.local/share/cura/{version}"
You DO NOT have to extract it.
I now have another problem, those definition files do not work, I get a "unable to slice" error...