Select the Saved Files folder & press the Explore button. The folder will open up for you. Do you find them then?

If LW's been open for a long time & particularly if it's been very busy then the relationship with iTunes sometimes suffers. A restart of LW will normally fix that. It may be Java related with build ups of VM & ram. I'm not sure. And as OAH suggested, a ticking or unticking & reticking & applyiing the iTunes options might also jump it back into action.

I'm getting slow in my old age! Posting is slow!