The only exception is that ZPLUG_LOADFILE, which by default lives in
ZPLUG_HOME, is a configuration file. I don't use it yet but might soon;
fortunately it can be reconfigured to live somewhere else such as in
$XDG_CONFIG_HOME.
.zshenv still needs to live in ~ for bootstrapping, but everything else
is now squirrelled away in ~/.config/zsh instead.
Note that zplug still lives in ~/.zplug - it should be relocated too but
hasn't been yet.