When a project is exported as a video file, the dialog box lists a SAVE TO FOLDER path, which is user configurable. That's where the file should land.
After the export completes, the small 'downloads' box has two links: SHOW IN FOLDER and PLAY. The former should open the 'save' folder.
If this isn't happening, first CLEAR UNUSED CACHE FILES, under the OPTIONS|DISK tab, then try again..