CI use these configs in all checks installing them with install.sh script. If you want to run all tests from tests/queries/0_stateless and test/queries/1_stateful on your local machine you have to set up configs from this directory for your clickhouse-server. The most simple way is to install them using install.sh script. Other option is just copy files into your clickhouse config directory.
Just place file .xml with new config into appropriate directory and add ln command into install.sh script. After that CI will use this config in all tests runs.