When I was six, I got the Vladek’s Dark Fortress set for Christmas, and it didn’t have the saddle piece for Jayko’s horse. Therefore, I was never able to properly use the horse-mounted catapult. 
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In 2012, I got the Fire Brigade modular building for my birthday. After opening it up, I noticed that one of the firefighter mini figure torsos was missing. In its place was a police officer’s torso 
I had spare uniforms, so I didn’t have to order a replacement, but to this day, a police uniform is sitting on the back of my Fire Brigade. I think my brother put a spare city head on it at one point
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A few times, here’s some examples of the top of my head.
Back when X-Pods were a thing, I had this Arachnid pod but it was missing a piece. Can’t remember exactly which one, but when I contacted LEGO, they gave me not just the replacement part, but another WHOLE COPY of the set!
I’ve bought a Harry Potter Advent Calendar after holiday 2019, from Walmart at clearance price, but only 3 minifigures were missing: Harry, Ron and Hermione. Coincidentally they were all on the same row of the box towards one side, and yet the box was still sealed, not battered open. I contacted LEGO and they sent all the parts to make those 3 figures.
Maniac4Bricks (Joey)
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Quite a few times actually but these 2 came in mind immediately
The 75912 Millenium Falcon is known for having missing parts due to being so huge and having smallest pieces, but luckily I was missing only one of these
I reached out to lego and they mistakenly sent me the dark grey version 
Most recently I bought the 21345 Polaroid set and was missing this piece
lego sent me that as well
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Two, and coincidentally both of them are white Technic cars.
I noticed some small bits missing early on, tried to continue but they just kept adding up. Checked it with the inventory and there were like 30 parts not present. We returned it to the store, and it later turned out that a whole small parts bag was missing! I even took a photo of the culprit after getting a complete copy:
This one was missing an axle connector and one of these wedged slopes. I probably should’ve complained, but I didn’t - only bought the set as a parts pack anyways, but I decided to build it first to see if I’d like it (I didn’t).
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I’ve never gotten a set with missing parts but I have gotten pick a brick orders with incorrect ones.
I paid a premium for this piece.
Got this piece instead after the order was delayed for about a month. They did send the right part after I messaged their customer service but for what I paid I was not impressed.
Funny enough the gobricks distributors I use consistently get the orders right more often than lego’s official pab service.
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I got 71818 recently, and I became very confused while building it when I couldn’t find a nougat 1x4 plate for the stairs to the drum. In its place, I found a brown 1x2 modified plate that doesn’t appear anywhere else in the set. I ended up just using it anyway lol
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Why tk does jay have cinder’s hair
Edit: just noticed Kai is also wrong. Bro a troll
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I got the Alien Conquest helicopter set one year for Christmas, and it was missing a long plate for the tail assembly. Thankfully I was able to find a replacement, but it was odd since it was a pretty large part that was missing.
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IDK, I thought Jay should have more dignified hair 
The actual answer is I got bored and thought it would be fun to swap everyone’s hair pieces lol
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Ok, that soda can model is actually cursed. That’s smaller in scale than the mini size sodas at Walmart…
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Adding one more to the list 
Just started building the ninjago twin titan mechs and on bag 1 one of these is missing
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Around 2021, I opened a new copy of 31120 Medieval Castle… only to find that a bag or two were missing in their entirety. Luckily, LEGO support was very helpful, and I was able to get the missing parts.
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When I was six, I got Vladek’s Dark Fortress for Christmas, and was disappointed that the horse saddle piece was missing. It meant the little catapult couldn’t be mounted on Jayko’s horse like it was supposed to be.
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