Its a hidden folder. Go to view options in Home and select Show Library. You might have to restart the computer.
https://discussions.apple.com/thread/7583520?start=0&tstart=0
or Steinberg troubleshooting instructions are here, under initializing preferences:
https://www.steinberg.net/nc/en/support/knowledgebase_new/show_details/kb_show/troubleshooting-instructions-for-cubase-nuendo-and-sequel-on-mac-os-x
That should work for Wavelab too.