"My Themes" Problem

I am having trouble saving themes.

If I go to Control panel\Personalisation there is nothing listed under 'My Themes", despite the fact I have previously saved themes.

The theme I have just customised is showing under "Installed Themes" (not "my themes") as an unsaved theme. I cannot right click or anything to save it. The only option I have on right click is "delete theme".

Other themes I have previously personalised are also appearing under "Installed Themes" instead of "My Themes".

There is no "my themes" folder anywhere in my user folders.

Q. Should there be a my themes folder in my User folders?
If so, where should it be?

Several months ago I moved all the user folders to D: drive
My themes are in D:\Users\[Username]\Local\Microsoft\Windows\Themes.

Until recently I had no problem saving themes.
Now, however, I cannot save themes at all.