I believe the location of the ClipArt files is stored in the Windows Registry.
Perhaps the program looks there first.
Further: I'm not sure how you installed the included ClipArt (or if you are using ClipArt from a physical CD).
In my own case (on a Windows 7/64 system) I simply used the download version (i.e., no CD) and accepted the various defaults. I never changed the file location setting in Tools, Settings, Files, Graphic (tab).
On the other hand, if you are trying to copy all graphics from a CD to a hard drive: I have an old tip on my site from Charles Rossiter (Corel C_Tech volunteer) that has worked in earlier versions of WordPerfect. It was posted by Charles when users wanted to put the entire library of graphics that was included on CD#2 onto their hard drive -- but it might have a clue about what to do with the limited catalog that WPX6 installs: http://wptoolbox.com/tips/GraphicsTips.html#installclipart
I haven't need to use it myself, and it might only offer a clue -- so Your Mileage May Vary, as they say. (Be aware of the usual warnings and cautions about editing the Registry. Search the Microsoft site if you need more information. You should also provide your version of Windows, since recent versions are quite a bit different from, say, Windows XP. )
Hopefully someone from Corel will see this thread and provide more precise and up-to-date information for us.