1) The heap dump is not a separate file, it will be contained in the snapshot file.
2) If you did not specify an absolute directory in the "Save snapshot" action, the files will be saved in the working directory of the profiled process.
3) The JProfiler agent will write a message to stderr when it writes the snapshot. If you don't see that message in your log file, the trigger did not run. You can also add a "Print message" action to the trigger to be more explicit.