Proxy Creation Failed

Hello,
I've been shooting tethered to Capture One on Mac OS - saving files on the external drive. Once I've opened the session folder on Windows, the Capture One gave me Proxy Creation Failed alert for over 400 files. Now I cannot locate any of those files - neither on Windows nor on MacOS. They disappeared from my external drive. Does anyone have an idea where/how to find missing files?
Thank you
Jordan