Bruno, CLUAINPUTS defines directories where you can put shared libraries which can be used by LuaTeX. The directory doesn't exist because no such libraries are shipped with TeX Live (yet?). Since shared libraries contain machine code, they have to be somewhere below SELFAUTOLOC (imagine a tree with the root at the top :). You can safely ignore CLUAINPUTS.
For Windows, users are able to add DLL modules in TeX Live 2016. In TeX Live 2017 and later, adding of DLL modules may become impossible or very difficult due to multiple Lua VMs problem, since I'll link lua52, luajit, and luaffi statically. I think this may not be undesirable since DLL modules can lead to security problems. If users want to use some DLL in lua(jit)tex, they will be able to do that with the help of the new (luatex) and the existing (luajittex) ffi under the --shell-escape option. Best, Akira
