Confusion about where CNAME records are stored?

In v6, you can create CNAMEs via Settings | Local DNS Records (just as in v5).

As Introducing Pi-hole v6 mentions, Pi-hole v6 consolidates v5's multiple settings files into a single, richly commented file, /etc/pihole/pihole.toml.

You can add your CNAME definitions to that file to the dns.cnameRecords section, e.g. like:

  # List of CNAME records which indicate that <cname> is really <target>. If the <TTL> is
  # given, it overwrites the value of local-ttl
  #
  # Possible values are:
  #     Array of CNAMEs each on in one of the following forms: "<cname>,<target>[,<TTL>]"
  cnameRecords = [
    "time.fritz.box,fritz.box",
    "0.debian.pool.ntp.org,time.fritz.box",
    "1.android.pool.ntp.org,time.fritz.box",
    "time.windows.com,time.fritz.box",
    "time.nist.gov,time.fritz.box"
  ] ### CHANGED, default = []