You have to choose to save your "Tax Return, and all calculation worksheets" (as a PDF) in order for your W-2 to be saved in the file.
Even then, as @VolvoGirl indicated, it is not an exact copy of your W-2 (but it does have all of the information you entered from your W-2 into the program).
Unless you specifically uploaded the W-2 form to the DOCS section for safe keeping it will not be in there. Even if you uploaded the information into the system the actual form is not saved ... only the information is saved in the PDF worksheets.