It is the same folder on your computer, however LW shows them as separate for letting you know which files are shared & which are not. Two reasons I can think of why this has happened. (1) You have LW set to share your Shared folder but not share newly downloaded files immediately, so until you restart LW they will not show in Shared folder. (2) You have stopped sharing your Shared folder & right-clicked & chosen to share individual ones. Perhaps the opposite you'd prefer. ie: Share the Shared folder but right-click those you wish not to share.

Either of the ways, you can choose which one suits you best.

You can choose Shared folder or Saved Files folder to use the Explore button. They are the same folder on your computer. Sample image here: Using Library Explore button to access downld folder (click on link).

Shared folder, Saved Files & Individually Shared Files are the same folder on your computer 'unless' you are sharing other folders also in which case Individually Shared Files folder may include some files from those also. These three folders are pseudonym for using within LW.

Saved Files = files you have recently downloaded
Shared = files you have downloaded & chosen to share (unless you added your own files to this folder so is inclusive.)
Individually Shared = simply represents files from any folders you are sharing where you have right-clicked & chosen not to share some of those files. It shows the files you are sharing from such folders.