Yep. The last scenario seems more likely. Any idea which relay could be causing this issue?

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Discussion

The paid/WOT ones do not allow unpaid keys to send you events. So they are terrible for the Inbox section.

nostr.band is more useful as a search relay than as inbox, since they have over 500M events to store and provide (slow + busy).

The others are fine.

Just keep in mind that the first scenario is also likely since many users do not use a zap-enabled wallet.