When you click the 'Create a new calibre icon theme' button it asks for a folder in %userhome% so I presume it puts in there.
As I said I was "
Curious", I don't want to create one. The very notion of me creating an icon theme is laughable, as you can see here:-
In the main I use keyboard shortcuts and the book list context menu, occasional use actions are in the Favourites PI
BR