When you use Share>Apple Devices there is an checkbox for "Add to iTunes". If this is selected, your export is added to you iTunes Library. You can access the file in the Finder by right clicking the movie in iTunes and selecting "Show in Finder" from the contextual menu.
If you don't want to automaticly add your render to iTunes, uncheck the "Add to iTunes" check box and the Share button will change to Next, click on that and you will get the option for where to save the file.
When you export with "Add to iTunes" unchecked, what is the location you are saving to?
The file should be in the location you select unless you (or someone else) moves or deletes it.
Does the "Show in Finder" option in iTunes not take you to the media?
If it is working, you should be able to access the media and then do what you need with it.
Are there any other details (steps, configuration, etc.) you can share? Since we can't see your computer it's difficult to know what is happening without as much information as possible.