If you have a moment and know the answer, please share as it's really frustrating.
It is no longer possible in Photos. Syncing with Facebook and Flickr changed considerably.
In iPhoto or Aperture you could see Facebook in the sidebar, because iPhoto synced with Facebook. The synced Facebook albums were part of the iPhoto Library. Now you just share to Facebook without creating shared albums in your photo library. You can only upload to existing albums, and these albums do not sync with your library and are not a part of it. So you cannot see them there.
See the Help page: https://help.apple.com/photos/mac/1.0/?lang=en#/pht6e41eaff
You can still use iPhoto, if you prefer it. Photos is not an update to iPhoto and has not replaced it. iPhoto should still be in your Applications folder. You may need to update it to the last version, iPhoto 9.6.1 however, because only this version is compatible with MacOS X 10.10.3.
See: Get iPhoto 9.6.1 if you didn't update before OS X 10.10.3