So you shut down your MacBook Pro using > Shut down… > Shut Down, yet your MacBook still starts by itself when you press Command + Option + P + R? As in, you don’t even have to press the power button? Because your MacBook Pro needs to be completely shut down before you can do this. As long as you made sure your MacBook was completely powered off before you did this, it is likely that the reset will still have worked.
As for the folder not being in your library, did you go there in the way @stoska992 and I have described? By that, I mean you went to finder, you pressed Shift + Command + G and you pasted ~/Library/Sharing/AutoUnlock/ into the dialogue box that appeared? Because literally every Mac that supports this feature will store associated files in this location… You may not be able to see the folder when you try and navigate to it, because it may be hidden. Your best bet is to use the dialogue box invoked by pressing Command + Shift + G. The folder may not exist if you have a fresh install of MacOS and haven’t used Auto Unlock before on the machine.
If the folder truly doesn’t exist on your machine, it will be created upon the first successful activation of Auto Unlock. Like I’ve said, Auto Unlock should be fixed in WatchOS 7.1. However, there still seem to be some issues that need ironing out. So, regardless of how annoying it may seem, for some people, there may well be no option but to wait for MacOS 11 Big Sur… Unfortunately…