The folder in the LW Library window called Saved Files is just a pseudonym for your save folder whatever you called it. If you select the Saved Files folder & press Explore button then the folder will open up for you & your downlds will be in there (but only if they've been 100% downlded otherwise they will sit inside the incomplete folder.)

With the exception of Saved Files & incomplete folders, the only folders to appear in the LW Lib window are ones that are being shared. By default your LW downld folder is shared. Shared files are in black text & files not being shared are in red text.