At the time of writing, spaCy doesn't natively support relation extraction models. The example that we list on our docs here is meant to be a tutorial on how to set up a custom component, not a guide on a feature in spaCy.
The crux of the issue is that the Doc object in spaCy currently has no support for relationships. That is also why, in turn, the .spacy object does not support them.
The config file that you see can be changed via the --config flag (docs). If this flag is not set, which is your case, it will auto generate the default settings as found here.