In T1, Reece blows the lower half of the bare metal Terminator off with a pipe bomb. Pieces as big as a lower leg were visible after the explosion. The second film showcases the uncrushed arm and a Terminator CPU chip from the first Terminator as a major plot point. Granted there were some pretty small pieces laying around, but since half of the machine wasn't crushed, Cyberdyne Systems scientists could have pieced together the bottom half of a Terminator for Miles Dyson to experiment with in T2. What happened to those pieces? At the very least, what happened to the leg?
According to the official novelisation, the Terminator's arm and chip were collected/stolen by two guys working at the plant. After realising what they had, they used the initial design patents and advanced info to found a small business which eventually became Cyberdyne Systems:
“Look at this, Greg!” he shouted enthusiastically, and thrust a small electronic chip the likes of which Greg had never seen before into his palm. It was maybe thirty-five millimeters in diameter and laced with imprinted circuitry.
That made absolutely no sense whatsoever, although it seemed to be very efficiently connected. For what purpose? “Where’d you get this?”
Jack indicated the assembly line in the back of the building. “I wasn’t supposed to, but I crossed the police line, because this thing was—”
Greg clamped his arm around Jack’s shoulder and pinched his arm, hard. Jack howled and tried to break free until Greg nodded toward a patrolman standing about six feet away. They walked into the parking lot away from the knot of coworkers and officials.
Jack told Greg he had found the chip on the floor in the middle of a lot of strange-looking debris. Greg kept turning it over and over in his hands, puzzled and getting more and more excited. “Did the boss see this?” Loyal Jack looked wounded. “No, Greg. I brought it right to you. Nobody knows I have it.” Greg nodded happily. “Lets keep it that way.”
“Huh?” Jack said, confused. “Don’t you want to take it down to R and D?”
“What for? So old man Kleinhaus can get the credit?
We’re on salary here, pal. Design techs for hire. They give a shit about us. Why make them rich?”
“What are we going to do?”
Greg looked into his foolish friend’s eyes. Jack was his treasure, an undiscovered artist in electronic engineering. Everyone else saw the package. Greg saw the contents.
That was his advantage. He and Jack would go into business for themselves. A small office with little furniture.
Since the Terminator was nowhere to be seen and given that the case would therefore have remained open indefinitely, the leg and other parts were presumably removed by the police and impounded as evidence, where they remained until they were destroyed on Judgement Day.
You can see a version of this conversation in the deleted scene below.