Well, what that means means is that your presets will be stored in a folder next to your catalogue. Equally, your catalogue will look there for the presets - so if they're no longer shown, it's because that folder is no longer there. Does that give you a clue about where to find the folder in Finder? The other (default) place would be in USER / Library / Application Support / Adobe / Lightroom.
You could also try this. If you know the exact name you gave one of these missing presets, search for it in Spotlight.
Incidentally, unless your catalogue is on an external drive I wouldn't recommend leaving that option ticked. It causes confusion.... But deal with that later.