Is this for all notifications, or only those from the Messages app?
I have had this issue for quite some time with the Messages app. It does the same thing with the Verizon Messages+ app, so it's something internal to Android that is removing the notification. The conversations are still marked as unread when you open either app.
I can't seem to find any correlation as to why it happens. There are times where I'm right next to the phone and hear the text notification sound. The icon will show on the AOD screen, but it will usually disappear before I get the phone all the way open (swipe up as I have Smart Lock tied to my Gear S3).
Since it happens either before or so close to getting to the home screen, I haven't been able to figure out if there is any combination of system state or other notifications that knock the Messages out or something.