The Resource Market is a vital and highly useful way to fix your supply lines and economy in a hurry - which can make it extra frustrating if you bought or sold resources, and didn't receive what you were expecting to.
Fortunately, the explanation for this is a good thing in itself! If you are a High Command member, you'll have the ability to queue construction orders until you have the resources to afford the building or unit. If you then head to the market, and buy the resources you were missing, this will begin your queued orders and the resources will be consumed.
In these cases, it may seem like the resources didn't arrive, or even that you lost resources when buying them, but we can assure you that they were used for a good cause.