Hi,
I follow this process:
1. create a folder in Marketing Activities(myActivityFolder)
2. create a program (myProgram)
3. clone my email/asset from design studio to the program (myProgram)
I can find the email/asset in the activity/program ie. myActivityFolder/myProgram
I see you following the same. If you still do not see it, its something a Marketo Associate might be able to help with!
Hope this helps.
Thanks,
S