Lightroom to Photoshop graduated filter gone

If you mean that the graduated filter is gone in the Develop section, then that is normal. When you send an image from Lightroom to Photoshop, then the Lightroom edits will be rendered ('baked into the pixels') of the Photoshop image. When you save this file in Photoshop and return to Lightroom, you will have a new tiff or psd file with all the original Lightroom edits 'baked in the pixels', which means they these edits be changed anymore and don't show in the develop module as slider settings or filters.

When you send a tiff or jpeg to Photoshop you can avoid this by choosing 'Edit Original', but when you send a raw file you do not have a choice.

Where are you adding the graduated filter, in Lr or Ps? It sounds like you are making the edit in Ps.

Lr can not work with layers. If you add the filter as an adjustment layer in Ps and save the file as a tiff or Ps file with layers, Lr can import and see the file. BUT if you ad further edits to the layered image with Lr, you have a choice between keeping the original layers, or flattening and keeping the Lr edits. This choice happens when you reopen the image in Ps. A message comes up asking you how you want to open it. Pick the last option “Edit original” to open with image with the original Ps layered edits.