Thanks Loyd,
the strange problem is that the "view hidden files" is checked.
I can see the directory AppData\roaming where Lockheed-Martin\P3D directory and P3d.cfg resides, but there is no Microsoft|FSX directory where FSXcfg should be.
As far as the scenery.cfg is not hidden and resides in the main FSX directory, but after adding sceneries to the scenery library, the file is not modified, but I can see the new sceneries while flying.
I don't know if this is a issue, but I did't have this problem under Windows 7 (now I have Windows 10).