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The SAGE_... environment variables are defined by the sage executable (which is in fact a shell script), hence undefined in the "standard" enviroinment. You can work in Sage's environment thanks to sage -sh (look it up !).

Compare :

charpent@zen-book-flip:~$ echo $SAGE_LOCAL

(which prints nothing) with

charpent@zen-book-flip:~$ sage -sh -c 'echo $SAGE_LOCAL'
/usr/local/sage-10/local

HTH,