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

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

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.