LineageOS update files not present in /data/lineageos_updates since 27th April 2018
I'm not aware of the causing issue, but have found a workaround for fixing: I downloaded all avaliable updates (the owner last updated in March) and bootet TWRP. Now I searched for the last update that I found in /data/lineageos_updates and installed it. 

In my case, it was from 10th of April. This update seems to be something special: The updater say it's from 10th of April, where the LineageOS download page list it as 11th of April. I installed the update and every single following update by hand. This worked and made them visible in the expected /data/lineageos_update path. 

Don't know what's the reason for this. I assume that some changes were made on the update process in one of those update (maybe the one from 11th of April or another one) and those changes weren't included properly in the following updates. But at least those steps are a workaround, when you're not able to install the latest LineageOS update any more.