I have Colorista 2 installed and use it regularly but this is the first time I've used (or at least attempted to use) a preset with it. I've just found out the prest was made in CS6 where as I am running 5.5, could this be the issue?
Here's a screengrab of the file location and it missing in AE.
is the problem that you just want it to be in a folder called 'colorista 2'...? if so you should be able to create a folder in the presets folder (via the finder, not ae) with that name and put the ffx file in there.
when you restart ae or choose refresh list from the effects & presets panel it should appear in that panel the same way (the ffx file should be in the folder that you created).
or is the problem that it won't work when you apply it? if that's the case, it may be an issue between versions of the plugin. the cs6 version might be different from the cs5.5 version.