The configuration files are where all the options are stored, and in common with normal Linux practice these are saved in a hidden directory in the user's home directory (~/.dslstats).
The snapshots aren't configuration files, they are saved data. By default they are saved in the same directory as the configuration files, but you can choose to save them somewhere else.
(You might ask why you can't choose to save the configuration files somewhere else too. But of course, at startup, the program has to know where its configuration files are, so they have to be in a standardised place.)