There’s 2 possible situations.

  1. You might didn’t give ‘Send Anywhere’ the access to Photos app.

  2. If Send Anywhere can’t access to Photos app, it can’t be saved in Photos. Change your device’s settings in ‘Settings’ > ‘Send Anywhere’ > enable access to ‘Photos’.

    If you still can’t find it, in Send Anywhere App, go to ‘More’ > ‘Settings’ > Enable ‘Auto Save to Camera Roll’.

  3. The photos are saved to the time it was originally taken.

  4. For example, if the photo you just received was originally taken on 2011.01.01, go to that moment of time in the camera roll.

    Very rarely, time information of the photo you received could have been damaged and Photo app might not lead you to the exact time you took the photo.

    In this case, go to the ‘Albums’ tab in the Photo app and find ‘Send Anywhere’. All the photos are safely saved in here 🙂