Since UM2.0.x there are new handlers and place for store Email Notifications templates.
It was decided to transfer the modified email templates from the WP options to the template files because the size of the templates can be quite large.
So, when you edit email template using wp-admin screen UM->Settings->Email it is saved in a folder with your theme/child-theme (e.g. "wp-content/themes/twentyseventeen/ultimate-member/email/welcome_email.php" is the path of the template "Account Welcome Email").
This is a fairly common practice that has its advantages. All templates are stored in one place and files can be easily edited.
!!! Important: If you do not use your own theme, which will not be updated please use or create the child theme, because on the parent's theme updating, the customization files will be lost (if they are stored in your parent theme).
You can translate email templates if you use the multilingual plugin WPML. Translated template files are stored in subfolders.
[Custom and translated email templates]