Before you start, is your project already saved as… somewhere? Or is it - after these steps you describe - a very first save of the project?
Does this mean, you imported some files to the Pool before? So you didn’t get just a recorded files to the Pool? Or how does it happen, you have some files in the Audio folder, which are not present in the Project?
There is a message Cubase displays in this step. Did you select Remove from Pool or Erase, please?