That's correct. Unfortunately, misplaced data is more likely to be a consequence of forgetting to change the default path when saving, or not noticing the path displayed before hitting save than any unreliability of Windows.
This is especially true when I am tired or in a hurry. Over many years of experience fighting Windows and being stubborn about wanting to use my own storage paths, I have learned that it is easier to go with the flow and use the operating system the way it has been designed. This makes backups much less of a headache too.
As far as finding your missing files, I have also experienced your issue of Windows Search not being able to find files that I know are there, and when I follow the path with Explorer, they are indeed there, but for some reason Search could not find them. If you have enough idle time available on the computer, I would suggest allowing Index Service to index your entire computer. Then you can search for your missing files by file extension.