I got my I-140 approved recently under EB3. I asked my HR for a document of the approval or any document. He said they dont give it out to employees.

Yes, they can say what they said to you - because the original I-140 approval belongs to the employer. All you need is a copy of your I-140 approval notice if you plan on recapturing your PD. Try asking for a copy.
 
You will need some way to prove that you had a earlier PD - and the best way is to have a copy. If you do not have that, I have heard that the "Freedom of Information Act" request will result in documentation necessary to prove the earlier PD. You need to talk to your current attorney.
 
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