1. They may have half-lives< 70 million years, so have decayed to undetectable quantities since the formation of the solar system. However, decay-products, especially fission-products which should be significantly different from those of U, should appear in ancient material such as meteorites, if any superheavies have half-lives of a million or so years or more. I gather this has been tried but so far failed.
2 They may not form in supernovae because of the very short SF halflives of Fm-258 and immediately-following neutron-rich nuclei, so that even the r-process fails to produce them (I like to call this the 'fermium crevasse')
3 (My own suggestion, and be warned I'm an amateur) They may form in neutron-star coalescences, where we begin with material already neutron-rich, as the stablest superheavies must be. All so-far known superheavy nuclei are grossly neutron-deficient, as they must be made by fusing lower-z nuclei with low n/p ratios. Neutron-star coalescences are very energetic events which may generate no nuclei at all, only free nucleons etc; but if they do produce nuclei it might be worth examining spectra of the afterglow of gamma-ray bursters, at least some of which appear to be neutron-star coalescences.
These are exceedingly rare events, so even if they produce long-lived superheavies these will themselves be exceedingly rare.
It is even possible some superheavies are stable or almost so, but never form because the necessary intermediates are too unstable - the 'fermium crevasse'. There is an analagous situation in Chemistry where the extremely stable molecule dodecahedrane C20H20 has proved excruciatingly difficult to synthesise in quantity because of the high strain in its immediate precursors in the synthesis, and it is never found in Nature despite its great stability. (Bring me a sample from a UFO event and I'll become a believer!)