macOS Catalina Deleted My Files
I had quite a scare after the update recently and it turns out Apple decided to move any user created folders that resided on the root of the drive to /Users/Shared/Relocated Items/Security
A safer option would be to have them in your user directory instead. You can do this by simply running the following and enter your password when prompted.
cd "/Users/Shared/Relocated Items/Security"
sudo mv YOUR_FOLDER ~/