I just created a new save, and the lake and the ground are on the same level
This problem only exist in lakes of inland, seas and oceans are fine(1 level below the ground, and the lake).
Anyone know if i set something wrong in the configuration?
I believe this is a feature. However you should be able to lower the water level with the tool in landscape menu.
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Indeed, this is intended. You can also use up/down terraforming tool to reduce or extend lakes.
You can also use terraformation tools to make such water as well. This is very useful as water has no speed restrictions and no maintenance cost (so can largely replace canals).
Note that it takes a bit of tinkering to get what you want. To make land at the level of the ocean, you have to raise land, then lower it again so it's shallow water; then use the terrain you want to change the water to that type of land. It works, just hoping to head off a follow-up question at the pass. :)