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 easiest way is to install them using install.sh script. Another option is to copy files into your clickhouse config directory.
Place file .xml with new config in the appropriate directory and add ln command into install.sh script. CI will use then this config in all test runs.