configuration – How does `drush cim` find and handle the config-directory?

where is the drush cim command specific documentation?

https://drushcommands.com/drush-9x/config/config:import/

Does cim command remove the files after they are imported

No.

where are the setting files imported from, can you provide me with a
path relative to the root (I mean, relative to where the main
index.php file of drupal is)?

The path to the configuration folder is set in settings.php file. It will look like $configuration_directories = "path/to/config/folder". This is relative to the Drupal root directory.

can we change the import path?

Yes, you can change the path in the settings.php file.

can we tell drush to just delete any (previously exported) setting files ?

Anytime you export configuration, all the old configuration files will be wiped out, and new ones created from the current active configuration in the database.