Yes you're right, I just noticed that by trying the "Sketch/Import library/Add library" menu to import a zip file, and only then I found the Library directory into my sketches directory, that is wonderful !
Maybe the problem is that all instructions that come with third party libraries tell you to unzip the file then put the folder into the Arduino/Libraries directory, which is, let's say, "deprecated" method ...
Thanks for pointing that to me!