If you can't find a workout under "My Workouts" after saving it, it's likely because you saved it as a template. No need to worry; these can be imported again, so nothing is lost.
In the Session Designer, you can save two things:
Templates are basically just segments like the ones you save when you create your workout. However, templates will stay on your profile even if they are not attached to a workout. You create a template by adding a series of intervals without adding a cooldown.
Workouts are based on a series of intervals. These intervals can be combined into segments and are saved after adding a cooldown at the end.
Here are a few pictures of a workout profile with two segments and a cooldown: