Well, you can do whatever you want, it does not matter, there will always be some people who are unhappy with it. We cannot fulfill every demand.
The sole reason why Code::Blocks will actually be so nice as to read a configuration file located in the executable folder at all is because someone wanted to distribute a pre-configured system on a CDROM and asked for a way to somehow do that. Personally, I don't see why you would want to do that at all (except if you wanted kind of a "rescue disk"), but alas... it was asked for, and there it is.
However, generally, Code::Blocks stores its configuration in the "correct" place (the user's profile dir), and it certainly uses the configuration from that place.
The normal mode of operation for an IDE (as for many programs) is being installed on a machine, not being run from a removable medium. While we do support the latter case (more than most other software, if I may dare say this), it is not the default behaviour.
Also, using the executable's directory as a fallback is a free operation in the normal case, while using it as a primary location adds constant overhead.