The books from the ConnStore are LR
X format (that's the file extension for encrypted BBeB files). If you've been searching for LR
F files then that's why you're having trouble finding them.
I can't remember exactly where they are stored offhand, but if you look in the C:\Program Files\Sony\CONNECT Reader\ (assuming you installed the ConnSoft on your C drive, under Program Files, of course) you'll find them in one of those sub-dirs.
They have really nasty file names, BTW, so don't let that throw you. And, yes, you can change the file name without affecting the Meta-Data that the ConnSoft and Reader see, so if you want to rename them for your merely human reference, I don't know of any reason you shouldn't -- I certainly renamed mine, moved them to another location too.