I don't think you can use VSTs in VSCL. I see the page in the Help file which talks about this but I also notice that file refers to "Magix Audio and Music Lab Premium", which is a different product, often known as "AML"! See screenshot below:
So, the "wrong" Help file seems to be in use in VSCL.
"Path Settings" is available under "Options" but only offers the choice of stating where you wish projects to be saved.