hmm - well your are on the right track - The Shadows dir, will do just what you want !
but as the files are not there, you need to look into other issues, as why the configs are not collected.
If the configs are collected periodically, the will also get copied over to the shadow dir !
you may try to upgrade to latest LMS.4.2, or simply retry by first disable the job and enabled it again.
Also try disable shodows dir and enable it again
(LMS4.2: Admin > Collection Settings > Config - chechmark "Enable Shadow Directory")
also on win32 restart server sometimes needed.
HTH