First: the model explorer (I assume you’re referring to the pane) is an older option, used in the previous Visual Paradigm interface. Nothing wrong with it, but if you’re using Visual Paradigm 14 or up then you may benefit from switching to the sleek interface and using the associated project browser. But that’s just a side comment, it won’t make a difference in this case.
There is no direct way to check to which diagram a specific element belongs. The easiest is to simply open the diagram and look at its contents. *
I stand corrected, please see the 2 responses below mine.
Other than what has been explained below, you can also create a new model by right clicking in the pane. Select the option Model -> New Model, or select a pre-determined one (like analysis model, deployment model, etc.). When you have your new model (which functions as a folder of some sort) then drag and drop your diagram in there. That will move both the diagram as well as all its associated model elements.
To my knowledge this is the best or easiest way to get a good overview of what model elements are used within a certain diagram.
Hope this can help!