There are no compatibilities issues with saves between UE4 & UE5.
Your saves (in a packaged game) are located in
C:\Users{Username}\AppData\Local{Project Name}\Saved\SaveGames
What has probably happened is that your Project Name is slightly different due to upgrading from UE4 to UE5. Check to see if your saves are in the correct place.
This is all for a packaged game, though. In editor, the save files would be in your project folder- that would explain why they aren’t showing up.
{Path to Project}{Project Name}\Saved\SaveGames
You can get to your project by right clicking it in the launcher
