If anyone has bothered to try, you would find that the color matte is nowhere to be found, unless the project window is selected when the color matte is created. So let me repeat my question, if the project window is NOT selected when the matte is created, where does the color matte go?
Here's how to do this experiment:
create a new project
create a new sequence
select the window with the sequence, or the effects control window, or the monitor window
file>new>color matte and finish the dialog sequences
nothing new appears in the project window, nor the timeline window
"Into nothingness, which is to say, everything ..."
A paraphrase out of Harry Potter.
That unfortunately may be applicable. I have nearly always used the Project panel "new item" process. But you're right, without the Project panel in focus, it seems that color mattes simply ... evaporate into nothingness.
If the timeline window is selected in Adobe Premiere Pro, and you create a color matte, it should be added to the current sequence in the timeline as a new clip.
You can check if the color matte was added to the current sequence by scrolling through the timeline and looking for a solid color clip. By default, the color matte will have a duration of 5 seconds and will be the same size as the sequence.
If you still can't find the color matte in the project files or in the timeline, try creating another one and double-checking your project settings to make sure everything is set up correctly. Also, try resetting your workspace layout to its default settings, which may help to reveal any missing elements in your project.