Config.win is not governed by a config.pro option. Config.win is read from three places, in order.
1. text directory in the Pro/E load point. (\text\)
2. home directory of the computer (C:\ unless specified with the HOME environment variable)
3. Pro/E startup working directory (Start in location of your desktop shortcut)
The last one it finds is the one it uses. Config.win files are versioned so make sure the one you save is the latest itteration or remove all previous versions. I believe it appends them like it does config.pro options.
Any particular config.win file can be loaded at any time through the customization dialog box.