Where in My Files are you looking? My Files, like many other file manager apps, tries to automatically categorize various files (like Photos, Music, etc.) from various directories. It's possible that My Files can't look in the directory that Facebook is downloading its files to.
Use the Explore option in My Files (or use a 3rd party file manager like Total Commander) to look for a specific directory that Facebook is using to download files. It probably isn't /Download, which is the standard download directory. You might have to look through the subfolders of the /Android directory.