where WGM/Windchill stores this "search directories" info, so it can be edited?

I have not used this in years but I would think it would be in one of two places, system or user preferences or the wgmclient.ini file. See help docs and specifically the NX section:

https://support.ptc.com/help/wnc/r12.1.1.0/en/index.html#page/Windchill_Help_Center/sublandingpages/WWGM_LP.html#

If NX has additional search locations to pull files from, that might only apply to importing models since once checked in, all dependents should be brought in as well. WGM and Windchill should not operate where we straddle data maintained inside and outside of the system. In other words, if you maintain libraries of models outside of Windchill, when an assembly is called up that uses  them, those models would be dragged into your workspace for check in and then uploaded to Windchill. 

Are you asking about a solution to NX CAM options or a solution load_options.def? 

Because of how WFS is implemented in the newer versions of Windchill it sounds like from here (https://www.ptc.com/en/support/article/CS293782) that you can add secondary precedence in the search path to load options. As long as the WFS is the first path, that ought to work. I haven't tested this (NX2306/WC13.0.2.1/WGM13.0.2.0) yet as I've been trying to enforce JUST the WFS path from within the WGM. 

However: we are starting to play around more with NX CAM. PTC's stance at least through WC12 is documented here CS292484 . Spoiler alert: it's not supported. The issues on this are a bit more broad depending on what you're trying to do. Managing tool libraries and having the right permissions in place to be able to edit a Released item to do your CAM operations needs some thought... at least for me it does.