So my working Solution:
I opened "WinSCP" and go to "/userdata" (First i opened the Terminal and input the command for this folder: "mount -o remount,rw /" but i didn't know if this needed or not) than i made a folder called "shaders" and in there i copy all my presets and the "presets" folder with the files for contend or core presets from the original save folder that Retroarch mades if i saved a new Videoshader glsl.
Than i startet a Game and in the retroarch Options i changed the "Videoshader" save folder to my newly created folder "/userdata/shaders".
Now i saved the Konfiguration of this "content" or "Core" or "Game".
I have now in my "Snes9x 2010/snes.cfg" this lines:
video_shader = "/userdata/shaders/snes.glslp"
video_shader_dir = "/userdata/shaders"
video_shader_enable = "true"
Now this is working. I can Edit all my .cfg (megadrive.cfg, gb.cfg) with "Notepad +++" and insert this new lines in the .cfg with changed .glslp if i would another shader for this game or system.
I think the Problem that its not working from the Original save folder, is the ".config" this folder is shown as hidden folder in "WinSCP". I think this makes a Problem in Retroarch to find the .glslp and start this at Gamestart.