The downloaded clips are actually in the Sound Clips or Background Music libraries but they're listed by clip name, not the name of the bundle you downloaded.

For example, if you download the Human Sounds pack, those clips will be shown as Downloaded under the People filter:



If you're uncertain about which filter to use, click on the pack's folder icon in the App Manager and find the name of at least one clip. Then you can start typing it into the Search the library box with the filter set to All Content and you'll find how PD has sorted it and its companions.

Note that if you had PD open when you downloaded any audio packs, you'll need to close it then reopen it so it can import the new clips.