You are right though. There is very little explanation provided by the game and you basically have to figure everything out on your own, little by little. I still don't know how the hell Banners work. Mercenaries are slowly making sense but I'm fairly powerful in the game at this point and I know I'm missing out on crucially important things because I still don't know what I'm doing. Not to mention the event times are ridiculous. I have no clue what time zone the game is in so I never know when to be online for things like the Battle Royale or Demon King fights.

So with the treasure hunt, all of the loot from your rolls goes into a holding lot called the Warehouse. You'll see the Warehouse link button on the Treasure Hunt window. it should be above the roll buttons. Everything you've won is in there. Just make sure to smelt useless stuff first to make room for everything.