Hello,
I can confirm this error. Notification icons disappear after some seconds from the status bar while device is unlocked. But when the device is locked is even worse: if a notification is received it's shown in the lock screen, but if you unlock and lock the device again, all lock screen notifications have disappeared.
My configuration is: show ALL notifications in lock screen (I've checked all applications' notifications settings) without contents and the device security is PIN and fingerprint.
Regards.