How about uploading the SKP file so we can see exactly what you’ve got going on?
With so little information, this is only a guess. You aren’t selecting all of the entities that are attached to make the component. And when you make the component, you aren’t ticking the box Replace selection with component. Doing that creates the component which will be in the In Model components library but it won’t be in the model space so it won’t show in Outliner.
Tick the box first and the component will appear in the model space AND Outliner.
If this is the problem, check to make sure you are selecting everything you want to be included in the component. Generally you’ll find a better and easier workflow if you create a component of the entities before you draw other attached entities that aren’t supposed to be part of the component. Triple clicking on an entity will select all attached. It’s a quick way to make the selection for creating the component.