You need to manually refresh by right clicking on the folder/geodatabase and hit refresh. And yes, you need to do this every time something changes in your .gdb (or any file/folder) outside of Pro or you wont see it.
This is a known issue in Pro as it does not automatically update the catalog/folder tree as it does in most other Windows applications. Not sure why this exists in Pro but I must imagine its a bug. The manual refresh needs to be done both in Catalog view and also when you are manually navigating to files (for instance if you were to hit "Add Data" and navigate to your .gdb those feature classes would not be shown until you hit "F5" to refresh the view, while you were inside the .gdb). I run into this issue frequently using Business Analyst Desktop (which must be run through ArcMap) where I am doing much of the analysis work, and then bringing those features into Pro for the cartographic outputs.
Sure doesn't make sense to me, but at least there is a workaround...
Here is a topic I started on the same issue:
Pro doesn't update folders or files "in real time" within GDB when modified outside of Pro