Hi. I posted an observation, but am not seeing it.
First, I use “Apple Devices 720/1080” exclusively, and my files are .m4v, so you might want to check that, too.
Second, when first selecting the share option, the dialogue box opens in the “info” window showing the proposed title.
If you select “Settings” of the “info/settings” switch, there is a “ when done” pull-down menu which I have set to “do nothing”. This isn’t important, really, but it prevents FCPX from doing something you don’t want done. I think the default is “Library”, which may put it in the “iTunes Media” folder in the Sidebar-Music folder (located in your disk sidebar). Not sure about that. Might put it in a folder in the Sidebar-Movies folder.
However, with “Do Nothing” selected, clicking “next” offers up the last save location. His might help you find where it went, but may only give a default location if it has never been used.
Hope something helps.