1. The most likely problem is not having the sketch selected when saving the file. Open the .sldlfp file and see if the sketch has the "L" icon beside it (see below). If it's not there, then that's what happened.
If the file was saved correctly, then you probably don't have the correct folder structure. Solidworks is very particular about the number of layers of folders for these files. Go to Tools > Options > System Options > File Locations > Weldment Profiles and see what folder yours is pointing to. Mine is set to the folder named "Weldment Profiles" on our network drive. This folder needs one set of sub-folders (in my case that's "ANSI inch" and "ISO").
The next layer depends on whether or not you're using files with multiple configurations. If you are, then those files will go directly in these folders. If you have a single configuration, with a different file for each size, then you'll need another layer of folders. See the screenshot below of my ANSI Inch folder. I use both multiple and single configurations files, so I have both here (the multiple configuration files have -c at the end of the file names so when using the Structural Member function I can tell which is which).
As always, if you have a question about any of this feel free to ask, and I'll help if I can.