Where are new actions stored?

Always keep a separate copy of downloaded .atn files, the location is less important as long as you keep a separate copy.

Always save newly created action sets to .atn file, don't rely on them to solely exist in the preferences file.

Don't add custom actions to the Default Actions set as they can be reset and lost.

More here:

https://prepression.blogspot.com/2017/01/photoshop-custom-action-file-backup.html

Loaded Actions, like other presets, are stored in preferences. 

But those get lost if the Preferences should get corrupted and need to be restored. 

So the prudent thing to do is to copy the atn-files to the proper Presets-Folder, that way they should be available from the Actions Panel’s popup menu. 

C:\Program Files\Adobe\Adobe Photoshop [version]\Settings

Also see: 

https://helpx.adobe.com/photoshop/kb/preference-file-names-locations-photoshop.html