This is a bug I encountered a while back when I first bought the alpine unrest DLC. I was playing in my world with my friend when I found one of the collectable holiday photos, which you need to collect to unlock the saxophone emote. So naturally I picked it up, and it disappeared. But it didn’t register on the challenges page, so now I am one off getting the instrument, though I should already have it. I went back to the location and there is no photo to be found.
I suspect this has something to do with multiplayer as I have had similiar incidents with machine blueprints and other collectibles when playing with a mate.