Here are the paths for important preset folders…
C:\Users\USERNAME\Documents\Steinberg\FX Chain Presets
For me everything works ok, I have never had problems with loading presets.
Perhaps it could be an issue with your install, if you had multiple /documents folders or something.
Try to go into the folder and check if its actually saved there.
If its saved elsewhere you have to go into mediabay and add that location to be searched/cached.