I've had this same problem. I had an objective to sell a certain amount of items, I collected the dweller without selling any items in the collection screen, I had plenty of space in my closet, and when I hit "collect" the objective went up by 2 and I didn't have the one(blue item) good item that she had on her.
Can you only collect so many items from a returning dweller?
This has me very concerned since I have one guy returning with 52 blue items. The rest I will probably sell to try and mitigate the glitches and collect as many good items as possible. I will also be building more storage to try and make sure I get all of the items I want. Still, items going missing when collecting the dweller is quite annoying. And this isn't the first time it has happened.