I was lucky enough to be watching as a commenter’s comments get auto-trashed/disappeared. I’ve looked into this issue a number of times in the past after-the-fact, even solving some of the issues for some commenters. Unfortunately, there remained a frustrating issue for many folks as well as a sore point-of-pride for me.
Today I believe the issue is resolved! I say believe because it is too early to know for sure, but being able to investigate the issue “live” meant a lot. When it comes down to it, it looks like a combination of one or more bugs in WordPress, coupled with some errors in blacklist entries, the trigger being (I suspect) part of the commenter’s email address.
Like many things, it was a cascade of events. In this case, I edited the blacklist and so all should be better. Please let me know if your comments still disappear. Being held in Moderation is not the same, you are informed of that event. The issue I solved is more like a black hole – you submit the comment, and poof – nothing is ever seen again.