Record about media library file exist in database, so every instance should know about it. In your case local instance probably haven't listed them because of caching - try to clear a cache and they should appear in your local instance.
However actual file is being stored into a file system of the machine that is running an instance and other instances will never open that file as it simply does not exists in their file system.
You could use shared storage, sync them manually or setup some script that will automatically a job for you.