How are you receiving these files? Some third party apps will automatically delete messages after a set period of time.
What type of files are these? You mention using TextEdit, do you mean pictures within an .rtf file is not visible when using TextEdit? Maybe those files are just not compatible with TextEdit. You may need to use another app to view them. You can try using Pages, or LibreOffice to view those documents instead. TextEdit is only a very basic editor which has some major bugs.....it is very easy to accidentally delete data from an open file permanently without ever saving the modifications....I have lost important information this way without realizing it until much much later where backups did not save me.
Were the files actually downloaded to your computer?
Have you searched for the file names using Spotlight?
Do the files exist, but are they completely empty or just not showing any pictures?
Are you using macOS 14.2 Sonoma on a MBAir 13" as indicated in your footer? If so, you are several updates behind since Sonoma is now at 14.4.