They should both be in the root of the Q+E folder.
When you click auto-update Q+E downloads the latest daily build of ScummVM (scummvmwin32.exe) to the Q+E folder. It then unpacks it to the same folder so you will end up with scummvm.exe and sdl.dll there too.
I could have sworn I had a check in there for scummvm.exe when you click run, you've found a bug.
Auto-update not working properly is a bit weird though. Please reply and tell me where its put those files.
It might just be that daily build messed up, run auto-update again, you should visibly see it extract the files after the download is done.
When you click the run button Q+E exits and runs scummvm.exe with the specified options, so obviously if that file isnt there then it will just exit.