I'm trying to convert a layer to a .kmz file, and ArcMap says it works. It even shows up in my file directory(image attached) However, this file isn't actually in the folder it's supposed to be in. I've tried just right clicking the file in the Recent Files list and choosing Open File Location, which opens the folder it's supposed to be in, but it still isn't there. I'm not sure why the file isn't actually being created, or what I could do differently.
That's because kmz is a zipped directory containing kml file and related links. Your explorer maybe directly opening the kmz file and showing the contents inside it. Open the file with GIS and it will work as expected.