I am not sure about the.kcc files in particular.
But on SPS / SSO Access Gateway,
The location of the sample login forms (login.fcc pages etc) are in:
<>\secure-proxy\proxy-engine\examples\forms*
Most auth schemes expect them in:
<>\secure-proxy\proxy-engine\examples\siteminderagent\forms*
So generally you have to copy them to the siteminderagent\forms* directory as needed.
I am sure there is open Idea/Enhancement request to move them, but I don't have link to it currently.
Cheers - Mark