So you see the HDR preview and you can chnage settings that affect the preview?
The new file will get the name of the first + an extension identifying it as a HDR merge and is saved as DNG.
Check your sorting order and filters active.
OK, I figured things out -- but it still doesn't make full sense to me...
My problem started with what the Lightroom "Import from Aperture" tool did to my old library structure. In Aperture, I cataloged my photos within (Aperture parlance) one Project per shooting day, each labeled with the date & subject, and all in one folder per year.
When Lightroom imported these, it translated my old structure into one Collection Set per Aperture Project, each of which contained a single Collection labeled "Project Photos":
So it turns out that if I had one of the "Project Photos" Collections selected when doing an HDR merge, the result landed next to its "parents" in a very well-behaved way. But if I had the corresponding Collection Set selected, the merged HDR file landed outside of all my collections, and I had to go hunt it down.
This seems to be an annoying behavior from my perspective, but at least now I know what it's doing (if not *why* it's doing this).
You don't have to "hunt" it. If you mark one of the photos used and then click on all photos it should keep the selected and show you all photos, not just the ones from the collection. The created HDR now is just somewhere around the selected one.
Just because the source photos were in a collection, LR does not apply the same collection to the newly created HDR and that is why it is not shown with the selection marked for showing.