Erik Darling doesn’t want you to put missing index requests functionality on the back of a milk carton:
Rebuilding indexes will clear missing index requests. So before you go Hi-Ho-Silver-Away rebuilding every index the second an iota of fragmentation sneaks in, think about the information you’re clearing out every time you do that.
You may also want to think about Why Defragmenting Your Indexes Isn’t Helping, anyway. Unless you’re using Columnstore.
There are several reasons why you might not get a missing index request and Erik enumerates them for us.