But they were in the folder you explored right? I'm not sure when they get moved. I think it has something to do with when you re-open LW but I'm not sure. You could always drop them manually into the shared folder. If you want to share them immediately, then you'd need to press the Refresh button so LW re-accounts for all shared files & adds them to the list.

Edit: to share newly downlded files, Tools>Options>Sharing & tick option to share completed downlds. That will also share those in the Saved Files folder.