For Cocos2d-x?

yes. 

Is it in the other folders aka Android and iOS?

no.

But in fact the data are not stored in UserDefault.xml, no ?

What data are you trying to store.

I store int, bool, string like that :

auto userData = UserDefault::getInstance();

userData->setBoolIntKey(“xx”, xx);

 userData->flush();

I'm searching, I do not see where the data is stored

OK, that data is stored within the app itself. You cannot access it directly.