There are no such thing as PFE Adventures. FS or ProFlight Adventures are no longer available. PFE creates an ADV Flight File which is totally different concept. Therefore you won't find them within FS.... there are no menu options to select/load and ADV file. You select the ADV file in PFE, then select the 'Connect to FS' button and that's it.
Please read the Tutorial which is contain within the main User Guide.... provided you are running the latest version of PFE, which is 2.11.1. If not please update.