I've had this a few times, particularly on mobile, where you're doing something and some pop-up will steal focus, but of course you were tapping or swiping or something the exact instance it popped; it stayed just long enough for the after-image on your retinas to catch a single word and you realise it might have been important, but it's gone now, with no sign.

This happened to my just the other day; I was purchasing something online with a slightly complicated process, from my mobile, I didn't want to f* up the process, and I was tapping occasionally to keep the screen awake while it was doing "stuff"; needless to say, something popped up, too fast for me to react, I have no idea which button I tapped if any, or if I just dismissed it, to this day no idea what it wanted but I know it was related to the payment process.

I've seen this solved in dialogs/modals with a delay on the dismiss button, but rarely; it would also make sense to delay a modal/dialog of some kind by a couple hundred milliseconds to give you time to react, particularly if tapping outside of it would dismiss it.

I find myself using Notification History on Android more and more often, but a lot of the time it's not even notifications, it's some in-app thing that's totally within the developer's control.