That’s interesting. I’ve had that happen to me too and I’m assuming it’s because the events for notifications and the actual message content are different.
In other words, you got the event that says you have a message but didn’t get the event that contains the actual message for whatever reason (could be relay related).
I tried to create a NIP-17 DM client a couple times but always had this issue where I would get a notification in 0xChat but not the message. Maybe the zap notifications are related. 🤷♂️