You didn't mention your PhD version.
I have PhotoDirector 9.
I think, you did not miss something. The project cannot be saved. The project is a database file with links to your photos and the adjustments, that you did. That means, the original photo is not altered. So if you create a project, import photos and adjust, lets say, the exposure of a photo. If you open the photo on your harddisk with a regular photo viewer, you will find the photo unchanged. If you want to have the adjustments on a photo, you have to export the photo. With exporting, you create a new photo with the adjustments.
So far, so good.
It is the same with layers, but with a little trick (I don't know why). I opened a photo, switched to the layer tab and created a new, empty layer. I did some painting on that new layer. Now, I want to switch to Adjustment or even close PhotoDirector. A dialog box appears: "Do you want to save your changes to a temporary file (virtual copy) for further editing?" If you answer No and leave PhD, all changes are gone. So you have to answer Yes, and a virtual copy of your photo with layers is created. In the original photo, there are no layers. So you have to find the virtual copy in your project (Maybe at the very end). That virtual copy has the layers. I don't know, why a virtual copy is created. I think, it is not necessary. A virtual copy is not a new photo, it is another link to the original photo on the harddisk.
Hatti
Win 10 64, i7-4790k, 32GB Ram, 256 GB SSD, SATA 2TB, SATA 4TB, NVidia GTX1080 8GB, LG 34" 4K Wide, AOC 24" 1080