Are you referring to the user function file for the Batch Wizard? If so, then each target list can have its own user function files. In this case the user function files are saved in each target list... but you probably already know this.
But I assume that you want to alter the user function files that are specified in the Validator Engine Options. You are right that they are not included in VEO files. I think I did that to prevent possible problems with sharing settings and paths. How about I add an export option to include the user function files in VEO files? Then you could check that option and export the settings. I think this sounds like the easiest approach and it should not be that difficult to implement.
I've just emailed you a link to a new version to try.
Please check the export option in the Validator Engine Options to export the user functions file(s) (it should default to unchecked). You'll probably want to also make sure that the option to to load the config is checked so you are not prompted for a reload when you import the VEO file and the user functions file(s) change(s).