We just rolled out Teams to our organization and have reports of users missing chats if they do not acknowledge the desktop notification. If they click the notification, the chats show up just fine.
Logging out of Teams and logging back in brings up all missed conversations, so we do have a work around, but I don't want to keep telling users to log out if they think they might have missed a conversation. This is probably the first time most of the users have logged in.
There were some issues with messaging over the past few days, causing new messages to not appear in existing or new chats. They should be (hopefully) fixed now, but if you can still reproduce the issue in your tenant open a support case.