Hi,
Are you sure you're checking the correct server with the application role? The quarantined files are stored on the server where the website is actually hosted.
It's also recommended to use the cPFence WebUI to avoid confusion when managing quarantined files.
Also make sure you don't have another security solution that could be removing the files after they are quarantined.
If the issue persists, feel free to open a support ticket and we'll be happy to investigate further.