Just fully enchanted a trident (Loyalty III, impaling V, channelling/unbreaking/mending) after spending a lot of time to get one (hardly any drowned are spawning in this version), then lost it immediately when throwing it because I picked up a fish in the hotbar slot I had the Trident in. I tried teleporting to every item to find the Trident item and (/tp @e[type=item,limit=1]) and it was not present anywhere in the world or in my hotbar, it had ceased to exist entirely and I was forced to /give and /enchant myself another one.
EDIT: Just tried again with the new trident I gave myself. It disappeared instantly even though I never picked up an item, Loyalty is broken completely!
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Did the trident hit an entity (MC-173766)?
Also note that the trident does not become an item entity, the correct entity to look for is type=trident
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The first time, it did not seem to hit an entity. The second time, it did hit one, yes. I assumed that if it had retained the trident entity it would have been able to return, but if it happens again I'll have a go.

This still seems to be an issue in 21w14a I threw it at a spider, picked up a spider eye which filled my inventory which then caused the trident to disappear, couldn't seem to locate it.
If a loyalty trident is trying to get back in your inventory but your inventory is full it should revolve around the player in an orbit until a slot presents itself. There is a bug in the 20w10a snapshot that has tridents consumed when a mob is hit.