In what folder are the HD files?

"does that create a new folder on my performers computer, with for example the name “myprojectsnameversion2”
Yes, exactly so. Each Cubase Project creates a folder in said directory. So on Windows it’s
John Doe/Documents/VSTConnectPerformer/myprojectsnameversion2
where of course the name and project name are to be substituted.
On Mac…I don’t know, but it shouldn’t be hard to find (do a search on VSTConnect).
So you can transfer for instance the “myprojectsnameversion2” directory (given your Cubase project has been saved with that name) to your studio, open said Cubase project and apply “Get local HD files”, then point to that folder.