While creating the Patch Group using Patch/Service Pack wizard, select an option "Let me configure the rules for a customized deployment” on 2nd step". On 4th Step it asks for the Patch Group. Here you have option for “Use Existing Patch group”. Once you select this one, you can see the all the existing Patch Groups including the ones in “Lost and Found”. If you select the patch group in Lost And found, and finish the Wizard, the Patches gets added to the Patch Group however the Patch Group remains under "Lost & Found". It should be moved to "Patch Deployment" or there is an option to move it to desired folder.
Let me configure the rules for a customized deployment” on 2nd step