I've had more problems with the TSA locks themselves not working (the lock not locking) then locks going missing.

I've had the indicator on my lock show as opened about 5 times in 3 years. I've never had a note left.

I’ve only lost one lock. In 2006 leaving YYZ for JFK on an AE flight. The lock, and the zip the lock was attached to, came off somewhere between putting it on the baggage belt after CBP and the bag getting to the plane. The lock was snapped and the zip was ripped off. Before the door was closed, the ground crew handed the flight attendant a plastic bag to give me. The bag had the contents of the opened compartment and the remains of the zip and lock.

AA paid QF to repair the bag once I returned home.