I've posted about the disappearing pin in the timeline earlier, as a bug that showed up every now and then, confusing many of my course takers (and me). Back then I couldn't describe or repeat what they had been doing exactly, but now I've nailed it ! So I can describe the circumstances and reproduce the bug precisely.
When you have the pin activated and hit the play button, the blue pin in the timeline dims, the playback head rewinds, plays the animation, and when finished, the blue pin appears again. But when using the rewind button and hitting the play button once again, the pin often doesn't re-appear. It depends a bit on where the playback head and pin are positioned on the timeline, but I can reproduce it always by playing back, rewinding or even forwarding the playback head a couple of times. Don't touch the pin or head, just use the rewind/forward and play buttons. The blue pin will disappear from the timeline, while the blue toggle pin above the element pane still indicates an activated state.
Of course, it's easy enough to switch the pin back on again. But the disappearance of the blue pin from the timeline (while the toggle still looks activated) confuses users.
I believe pressing ENTER will turn the pin back on after you've been in this playback mode.