Tony:
Thanks for the reply. Before posting my question, I did check every possible location for the downloaded frame, including in PiP Objects. It wasn't there. After getting your note, I checked again and the downloaded frame was still not there. Then I did some experimenting by downloading a random sample of new frames and I found the problem.
All frames with a 16:9 aspect ratio showed up in the PiP Objects area but all with a 4:3 ratio were nowhere to be found. My project is 16:9 but the original frame I downloaded and could not find was 4:3. Apparently the only downloaded frames that show up in PiP Objects are those that match the ratio of your current project. That's why I couldn't find the original download.
A lesson learned. Thanks again.
Richard