I've successfully configured SNFMilter to work with Sendmail on Centos. But where are the quarantined messages stored?

If you have configured the Milter to quarantine messages, then your MTA will have stored them in its quarantine. You will have to consult your MTAs documentation to determine where that is and how to manage it.

If you're using postfix, for example, this might help: 
http://www.postfix.org/MILTER_README.html