Can't Find .Conf file - is this important?

I have a warning for the "hardener" area. I'm told to do this:

Copy the generated code into your site specific .conf file usually located in a subdirectory under /etc/nginx/... or /usr/local/nginx/conf/...

Problem is, neither of those directories exist. I also did a search for .conf but couldn't find anything. (But I suppose I am searching wrong.)

Is this issue important? Is it possible that my host (SiteGround) already has taken care of this? They seem to be pretty on top of this stuff.

Please advise on how I should proceed.