In the Settings page (accessible by clicking Account > Settings or pressing ⌘+, on Mac or Ctrl+, on Windows), you will be able to change some application settings, like the file format you want to use for the icons drag out or the folder where you want to export your icons.
It is your (personal) library location, used by the app to store your icons and projects.
Optionally, you can select a Dropbox/Box/OneDrive/Google Drive/Nutstore folder to use the same icon library on two devices. Please note that this feature was not developed for working simultaneously on multiple devices, but just to allow the use of the same library.
If you select a folder in the cloud to store your library, do not use the app at the same time on multiple devices. If you do, Dropbox/Box/OneDrive/Google Drive/Nutstore will create a copy of the database (conflict), which will cause the icons to disappear from the app.
Do not share the same 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 trying to work on shared projects, please check the Teams page of the guide.