You get "save as" when you add features not supported in the original format. Add layers or transparency to a jpeg and you get "save as".
Aside from that, Photoshop doesn't save to Lightroom. It just saves to disk just as it always does. The reason it appears in Lightroom is because there's a Lightroom-resident script running in the background, that tracks the file and reports the location to the Lr catalog.
Photoshop knows nothing about all this.
But for the script to work, Lightroom has to remain open. If you close Lr, the file is lost and you must re-import it.
Thanks for your reply. If I understand correctly, I need to do the 'save as' to some disk location, then import the file from that location. I can do that, but it really slows down the workflow when you are processing old pics though. What I don't understand is why it showed the modified file in Lightroom for the first photo. The steps in Photoshop were the same for all the photos I tried. Was it because Halloween is coming up?
This is where Smart Object workflow will come in really handy!
If you learn how to open your RAW file from LR into PS as a Smart Object, then when you save it (usually as a TIFF with layers) you'll see that back in the same location the catalog is seeing the source RAW file. From there, when you open it from LR again, you can choose to Edit In Photoshop as Smart Object. This will give you a pipeline for workflow between the two applications...sort of. At this point you are really only using Lightroom as an Asset Manager once you've made the Smart Object embedded TIFF file. You can apply other edits in LR to that file, but I wouldn't recommend it. Weird things happen with that much nesting.
So once this opens in Photoshop you'll see the Layer will have a Smart Object symbol on it. This means you can add other layers, you can use Image Adjustments, etc, just like you always would in Photoshop. But when you press Save, by default it should add a TIFF back to your catalog. Now if you come back later and want to further those adjustments in LR, you can. But you have to right click and choose to Edit In > Open as Smart Object in Photoshop again. This time you'll get a dialog box, this is important...
Now if you choose to Edit Original, it'll bring up the same layers, adjustments, and features you build on your RAW file earlier. This way you can go back and forth between the two apps and it's a non-destructive workflow. But I would highly recommend not adding LR edits to the TIFF file at this point. Once you've gone into Photoshop with the Smart Object workflow, if you need to make adjustments to the RAW image controls, you'll do this through Adobe Camera RAW. Simply double click the Smart Object icon when you have the file opened in Photoshop, and this will launch ACR (Adobe Camera RAW). The edits from Lightroom will be there, the UI will just look different because it's not in LR.
Hope that helps,