Firefly Library? Creative Cloud Library? Doesn't it go to Creative Cloud Library?

First thing to check is look through your whole creative cloud library and see if they are being saved to an obscure directory. You can specify which directory to save to and it defaults to that directory in the future. If you accidentally selected the wrong directory on the first save then the images might be somewhere other than where you expected.

If that is not the issue, then this sounds similar to an issue I reported: Firefly not always saving images to Creative Cloud or generating link. Because of this, I pretty much download everything locally (which does not seem to have the problem) and upload later to Creative Cloud. I am not sure Adobe is convinced this is an issue, so feel free to add a comment in the post referenced above.