I haven't done enough with my new phone to know. But I assume you have looked on the music search page. (Hold down search button to activate Cortana, tap music note in the upper right corner. Once you do that the past searches are shown on the screen.)
Make sure you upvote related requests in the Windows Feedback app. (Like having Music Search history sync across devices.)
I think at one point it used to show up in Groove, but it doesn't seem to be there anymore.
I've finally done more searches, and it seems to show all of the ones I have done, way more than just two. However, it only shows searches on have done on that device, the history doesn't sync across devices at all.