To save a custom XQL query to the Widget Library, you need to click on “Save to Widget Library” in the dashboard and you will be prompted to give the query a name and description. This will allow you to reuse the query in other dashboards or reports. You cannot save a query to the Widget Library by clicking the three dots on the widget, as this will only give you options to edit, delete, or clone the widget. You also cannot save a query to the Action Center, as this is a different feature that allows you to create alerts or remediation actions based on the query results. You do not have to exit the dashboard and go into the Widget Library first to create a query, as you can do it directly from the dashboard. References:

Cortex XDR Pro Admin Guide: Save a Custom Query to the Widget Library

Cortex XDR Pro Admin Guide: Create a Dashboard