I googled this:
COBOL.DIR directive not found micro focus COBOL
And got this link:
documentation.microfocus.com/.../index.jsp
COBOL.DIR is a System-wide Directives File
Read the info from the link above - it should help you
The $COBDIR value seems to be important
Also see this link:
documentation.microfocus.com/.../index.jsp
Same thing but worded slightly differently
Hope this helps you