Right, sorry if the pictures are a bit small, but look at the group on the right where I'm previewing a 3D effect.
Notice how there are three turquoise stripes running along it. (You can look at the 2D version)
Basically, I change the extrude depth from 50pt to 30pt and for no reason at all, the middle turquoise shape vanishes!!
Is this a bug or what?
It's a bug in the 3D effect display. You can try changing the perspective by 1 degree or adjust some rotation by a minute amount.
Basically, you just have to play with minor adjustments until everything appears correctly.
Illustrator's 3D effect is "adequate" at best. It's never been wonderful.