That's happened to me, but they are always on the drone.
I edit on the PC, so only use the app for looking at the footage. The one thing that strikes me is that the footage is transferred from the drone to the controller via what is essentially wifi. If you have turned the drone off, then the app can't download the footage. You might need to leave the drone on in order to allow the app to capture the stuff on the drone, and that might take a few minutes. I'm guessing that the app's priority is flying the drone and transferring files it will pay more attention to when idle.
If none of your stuff shows, check that the cache locally when recording setting is checked in the general settings of the app. You can also select an SD card to cache to if you have one in your device.