Photoshop 2020 not saving back to Lightroom Classic 9.2.1

Hi

I am sure you can (or have been able to) do this as I have just watched a tutorial on it in action.  I have a 2019 iMac.  I have Lightroom Classic 9.2.1 and Photoshop 2020.

I am opening a file (DNG file, but have also tried a RAW ORF file) in Lightroom and editing in Photoshop.  It comes across to Photoshop and I can edit it.  I click close and when prompted I save it down.  It is saving to the external disk where all masters are kept.  it does not however save a copy of the PSD file in Lightroom as per the tutorial.

Have tried opening into Photoshop as a smart object with no joy.  I have made sure that Photoshop has closed properly and the file exists in the file structure next to my original RAW file.

Apologies if answered before, but I cannot see anything later than a few years ago, hence posting again now.

Is this a bug, is it known about?  Should this work?