No, you should see your files. Did you create a sub-domain and then install WP? The files belong to the user who is assigned to that subdomain. Go back to the DH dashboard and see which user you created the one-click under. Then, FTP in using that user. The files should be there.
If you are not seeing them then there may be an issue with the files not belonging to you but still belonging to the DH one-click robot. I had that happen once when a domain had not fully propagated before I used the one-click installer. Ended up with a useless version of WP I needed DH to delete for me.