I have encountered similar behavior from Windows AND Mac OS for different applications. What ever Operating System you are using, Please double check that you are saving the PDF file to the Desktop, give it a unique Name. Then open a Finder or Explorer Window and focus on the desktop. I suspect that something in Windows or OSX is interfering from you seeing existence of the file right away. If this still doesn't work, then put the Unique name of the file in a file search window and let the system hunt it down to see where it was placed.
You may be experiencing how graphics are rendered in PDF files, I am not sure about that. Since the final output in this case is a PDF file which can be viewed on a screen or printed. You shouldn't need any insanely large type of graphic. A appropriately sized (Height and Width)JPG file for the output size with 72, 144 or 300 PPI should be sufficient. I never had a need to directly save from Photoshop to a PDF file.