If I want a different value for "LC_COLLATE" and "LC_CYPE", can I just copy this code, change such values and run it as a query in the "SQL Shell"? Is this a correct procedure?
Yes, intercepting the auto-generated SQL command and modifying it is valid - just remember you need to be connected to a database in order to execute SQL so if you are not already in that position you will need to do that as well.
I wonder if I need to do some additional configuration so other character sets appear in the "Collation" and "Character type" shown below.
You would need to inquire about how that field is populated from the providers of pgAdmin. If you type in a different value the server will inform you whether it understands what you mean.