Inside the Settings folder right click and make a new txt file. What worked for me (found on russian modding site): I just installed MCM mod to the base game directory (./Fallout 4/Data/.), not via Mod Organizer.
However, quite recently a lot of reports have been coming in of the Mods not working on Fallout 4. 'Fallout 4' Script Extender was also updated to be compatible with patch 1.2 although the tool still relies on Nexus Mod Manager for it to work.