stm32f4xx_hal_conf.h is in the library project nucleo-f411re_hal_lib that was created besides your project as it is used to configure the firmware itself; if you need to change it you should modify the one in the library project, not a copy in your application project. The idea is that the configuration is usually linked to your target board more than your application, so it is possible to share the firmwae library between several applications (and thus speed up application compilation). Having a copy in your application project could cause incoherencies between the version used to compile the firmware and the one used for your application code, if included directly...
You could also place everything in the application project when creating it by clicking the “As source in the application project” radio button on the firmware selection dialog; in this case your application project will include both your code and th firmware source code, including the stm32f4xx_hal_conf.h header file.
Hope this helps,