Access the app settings (Account > Settings or press ⌘, on Mac or Ctrl, on Windows), to modify the application settings, like the drag out file format or the app color theme.
The library location is where the app stores your icons and projects (not to be confused with the team project folder, which is where the app stores the team shared projects).
Optionally, you can select a Dropbox/Box/OneDrive/Google Drive/Nutstore folder and have the same icon library on two devices.
If you select a cloud folder to store your library, don't use the app at the same time on multiple devices. If you do, you may cause a database conflict and the icons will disappear.
Don't share the library location folder with your teammates or other Nucleo users. The only purpose of the library location is to store your icons and personal projects. If you're a team member working on shared projects, check the teams documentation page.