Two things I can think of:-
1) If someone else has played your keyboard using their own SD Card, they may not save in quite the same way as you do, thus your own sets could have been over-written.
2) If you failed to name your sets before saving, then the display will be 'blank' but your sets should still be there. Press the 'Favorites' button to turn it on and explore the various options, you'll probably find there is a simple solution.
I always work with the EXPAND MODE switched to 'ON' because if you don't, the keyboard only see/save what is highlighted at the time of saving. I made that mistake when I had my first Technics keyboard and have used the Expand Mode ever since. Of course it does take up more memory, but that is nothing compared to losing sets that you've spent a great deal of time on.
Hope this helps - Audrey