Here's how it is supposed to work. If you use LIghtroom CC to send a photo to Photoshop, it comes back into Lightroom CC with the layers intact. If you send that file back to Photoshop again, the layers should be available - however...
...if you move any sliders or make any adjustments or edits to the image, the file sent to Photoshop the second time will be flattened and sent without the layers. You now have three files, the original, the first Photoshop edit and a second Photoshop edit. Is that how it is working for you?
Aha I see. Yes that actually makes sense, but when I was in my workflow it wasn't obvious at the time.
It did work like that for me, however there was a case as I mentioned in my original post where I didn't make any adjustments to the photoshop file and the only way I could get the layered version was to go onto the web-based version lightroom.adobe and download that file first and then open it in photoshop.