Images are automatically saved back to the LR library but you need to follow a logical sequence for LR to render the export copy. You need to start the round trip from LR as follows and use the save command (Ctrl+S) not save as:
1) Ctrl+E in the Library to export selected image with develop settings (I choose PSD but tiff is also available in the prefs)
2) Edit in Photoshop; then Ctrl+S to replace (overwrite) Lightroom export copy
3) Ctrl+W to close in Photoshop and update Lightroom thumbnail. The saved copy is usually stacked next to the original so don't worry about XMP.
On Mac OSX Cmd+E; Cmd+S; Cmd+W