As I whant to have "hard copy" of my setting for all RAW files, I tried to save setting to XMP files, but when I do it now files are created in proper directories. It doesn't matter is I choose all catalog or only one folder. I double check with total commander with hidden files option enabled.
Are your raw files DNGs? If so, the settings are written directly to the files.
XMP files are only created for proprietary raw files.