I'm playing version 3.05 (Gog V2.13.0.18).
I've just started playing, on Easy, in first dungeon, and on two occasions now, I've picked up items that I found, but they've just vanished; not on the ground, not in inventory, not equipped.

The first was a helmet that I found on a dead person, the second was a Cloak of Protection that I found in the ooze puzzle room. What is going on here???

Check your stash, and check the different categories too.

AHA!!!!! I didn't even know that "stash" was there (the Chest icon on my inventory screen) !!!
duh... Thank you!!! everything was there... including some other things that I forgot I'd picked up!!