It means despite what was previously thought or despite previous problems

Generally it means that something was as one might have expected but didn't think so at first or as someone else had said but you initially didn't think was quite right. So in the example you might have thought it might be under the bed but then thought it could not be the case so searched everywhere else for it first. Of perhaps when you told someone you lost/misplaced it they said "It's probably under the bed." but you didn't think so and that was the last place you look. So the after all refers to all the other things you did before whatever worked.