Issue Summary

Jira Software classic boards settings
If the Swimlanes are set to be based on Epics and there are Stories associated with Epics not returned by your board filter, those Stories won't show up on your Kanban Board / Scrum Active Sprints page.

Swimlanes based on Epic description:
Group issues under their epic. Issues not assigned to an epic will be shown in their own group at the bottom. Epics with no issues on the board will not be shown.

It is expected behavior, however, it can be annoying since Stories with Epics from a different project will vanish from your board.

Workaround

Kanban board: Change the board filter to show all existing Epics in Jira plus your project issues.
For example: issuetype = Epic or project = TEST

Active Sprints:
If the Epics and Stories are under different projects but using the same sprint, you can use the workaround above.
If the Epics and Stories are under different projects and under different sprints, there is no workaround, they won't show up on your active sprints tab at all since active sprints don't show issues that are not part of your sprint.