Do you have the same file type selected? If it was a raw photo in Discover, but you have another file type selected in LR Desktop, then it may not show.
Also make sure you're signed into the same account.
Also in LR Desktop, go to the ... in the top right corner of the Presets panel and select Manage Presets to make sure the group isn't unchecked.
You don't generally need LR Desktop installed - but since LR Web can't export preset groups, you have to use LR Desktop to do so. Another option would be to apply the settings to a photo in LR Web and then when that's synced down to LR Classic, create the preset in Classic.
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