@JonR Hey, thanks for answering as well
Sorry for the wall of text, just wanted to address some of the points 
The windows crash had nothing to do with the loss of my file.
I see. I understood that Pencil2D “stopped working” and you lost the project you were working on, but I did mean that the Windows crash could have deleted the files. However if you have already ruled out this possibility then that’s fine.
I haven’t had a windows update for some days
Right. The Windows update I cited was back from February 2020, but of course it doesn’t mean necessarily that it was this specific issue that afflicted your computer, so if no other kind of files have been deleted then that also rules out this possibility.
I looked in the %temp% folder immediately
This is what worries me the most to be honest. It almost sounds as if Pencil2D considered that either the file was never opened or that it as successfully closed.
Just in case it helps you understand why we ask people to visit the %temp% folder, it’s because when Pencil2D opens a PCLX file, which is basically a zipped project folder, it will extract all the internal files and dump them into a uniquely named folder that will exist until you close the program or create a new file. Afterwards it will be deleted normally. However if Pencil2D crashes distinctively, this folder will remain.
If you saved the file and something interrupted that in any way, like an antivirus real time scanner, Windows permissions guardian, or in this case perhaps a bottleneck in the CPU processing due to heavy calculations (hence the “not responding” message) that could make the project become corrupted.
However in a few cases that we’ve been investigating, users have been able to save their files normally (no visible problems). They close the program, the TEMP folder is deleted but their file ended up corrupted (since the save operation was interrupted, files end up missing, including the main.xml file).
For your file to simply have vanished, Pencil2D back in the old days (nearly 6 years ago) did have an issue where it would crash (with flying colors) and then delete the file entirely, sometimes even saving normally would delete the entire file, but this only happened to the working file and the issue was fixed a long time ago. So far no Windows user has reported this from happening again after using the latest versions, and even so I seriously don’t think your problem is the same as that, because it had a very distinct way of happening 
“never save thrice on the same file”. I’m not sure I understand this.
Take it like an old saying. What I meant was, never save the entirety of your work on a single file all the time. I personally create backups per milestone in my projects. when adding new characters, backgrounds, lineart, coloring or difficult motions so I can roll back to a clear point in case I end up losing work. I’ve gotten to a point of saving nearly 100 files per scene to avoid losses under strict deadlines. I suffix all my files with a number sequence from 0 to 100, or more if i need to (i’ve gotten up to 300 at one point).
(…) although I’m not sure how that will help if pclx files can simply disappear
I don’t want to ascertain that it won’t happen, of course technology can and will fail and Pencil2D is under heavy development but… while I’m not exactly a developer but a user that volunteers as part of the Pencil2D team, aside from what I mentioned above, I’ve never had a Pencil2D file disappear in the past 4 years or so.
is export sequences (periodically) as PNG files, as that’s what saved me in this case.
That’s fine, as long as it works for you

Perhaps to avoid any unforeseen PCLX issues, you could try saving as PCL, it works the same but it’s basically an open project folder style, lke how Toonboom Harmony uses (PCLX is more similar to Adobe Animate).
Note that using PCL files won’t leave traces on the %TEMP% folder though, since it will be reading everything directly from the data folder on the place you decide to store it on your HDD.
So any backup copy has to be made by literally copying both the PCL file and the DATA folder which contains the images and other elements, but this style of file is very friendly if you intend to use a File Versioning System like GIT or SVN.