Thumbdrive is full, defective, unformatted, User/Admin Permissions, etc…
This is not Shotcut related.
Not sure what you mean. If you’re referring to your source file used to make your MP4 video, those are still on your computer, wherever you put them. Same goes if you saved your project file. Wherever you saved it to, is where it’s at now. Shotcut doesn’t move any files.