Strange behaviour, today I fired up Catchbook and tried a save again, this time it appeared in My Documents, and could be opened from there. Maybe there was an update ?
Catchbook files are saved automatically to a system folder (the exact path depends on the OS you are using). So you don't normally need to worry about manually saving and opening .cb files.
It sounds like you used the share mechanism to make a local copy of your work in a .cb file on Windows. When you open this copy it is imported into Catchbook and a new .cb file is created in the system folder. i.e. any changes you make will not be reflected in the .cb file you created in the My Documents folder.
FYI - you can create multiple copies of your work without having to use operating system functions. Just drag and drop pages or binders to the the copy target in the navigator in Catchbook. The copy target appears below the move target shown in this video.
I hope that helps a bit!