Yes I have seen this before first check the junk mail folder.
Iif it is still not there check to make sure that email marked as junk is not automatically deleted. There is a setting for this in your Outlook desktops. I am sure it can also be applied or disabled via group policy.
But lets check here:
Outlook > Actions >Junk Email > Junk Email Options > remove the check on the box that say “Permanently delete suspected junk email instead of moving it to the junk email folder”.
And finally if that does not fix you up it has to be a rule that is doing it. Check there and if all else fails export the email delete the mailbox recreate it and reimport the messages.