I just did a quick test and the downloaded clip immediately showed up in the imported media library. There were no additional steps needed:
The downloads themselves are apparently stored in an encrypted format so they can't be used outside of AD.
On my system the default folder is
C:\Users\[your username]\AppData\Local\Cyberlink\AudioDirector\DownloadedAudio\Shutterstock and the downloaded clips will start with pdz followed by a long hexadecimal string like
pdz9d3d1762e1e7defada7ccc8d3ad5053e
There's nothing you can do with those files, so if you aren't seeing anything after importing you may want to uninstall AD (using the Windows uninstaller or by right-clicking on the app from the CL App Manager) and try installing it again. Maybe even reboot just to be sure.