Ok - I successfully ran regedit. It says HKEY_CURRENT_USER\SOFTWARE\Cakewalk Music Software\Cakewalk\Sonar\UserPaths is:
C:\Cakewalk Content\Sonar\ProChannel Presets\
When I look there, it is as I said before. The are several dozen pcp files, but most of the presets I see when I click as explained in my post above (yellow arrow) are not there. They must exist because I can load and save them, when I load one of these it works.
Note this I posted this before I saw Chaps comment.