Is there a dfx command that outputs where the pem file used to load the identity is saved?
No, there is not, and it cannot output something sensible for every identity because not all of them actually have a pem file in the file system (identities are now by default stored in the system keychain/keyring).
I think it is a very reasonable request to have this as part of dfx info. What would imagine the output to look like for the cases where we can’t point to a plaintext pem file?
Thanks for the answer Severin. It was not meant as feature request, stricly question so totally fine with your answer.
That said, if you know if the path is documented somewhere, not against knowing where 
On OSX (Mac), identities are stored under the name of the identity at
~/.config/dfx/identity/<identity_name>/identity.pem.
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