Email delivered but not showing

The detailed message trace will also tell you to which folder the mail was redirected, in case any rule acted on it, so check for that. In addition, this might be an instance of a message being ZAP-ed post-delivery, as the protection layer has re-evaluated it as spam/malware. Again something that the trace should show.

As a last resort, you can also run an eDiscovery search or good old Search-Mailbox against the mailboxes in question.