It's because sudo runs as root, so it's looking for /root/.config You can use -E to keep your current users environment vars, but that doesn't do anything with ~/.config
You can try something like
sudo -E HOME="$HOME" XDG_CONFIG_HOME="$XDG_CONFIG_HOME" command_to_run
Or see if you can manually set the config path via args for the command
command_to_run --help
or man command_to_run
then if it does do
sudo command_to_run --config_path /home/user/.config
for example
Or copy ~/.config
to /root
(don't simlink because root could screw up permissions). Obviously copying is annoying especially if it changes often
(sudo could mess up the ~/.config permissions also if you do the HOME stuff above. )