Unfortunately this is due to Apple's update the iOS14.
We (Cometly) send all of the data TO Facebook which is why you'll see the data on your pixel in the "Events Manager" section on Facebook.
But if the user who bought the product "opted out" of being tracked, then that person will never count as a sale or show inside the actual ads manager so you won't be able to see which adset/ad brought the sale in. BUT you have Cometly setup so you can see where the sale came from which is good :)
The other side of "Will the sale help Facebook optimize my ad data", the answer is YES. Although Facebook cannot REPORT on a lot of the data that we are sending them, they have confirmed that they are receiving our data and use it to help your Pixel learn.
So be sure to turn on Conversion API data sharing on your "Integrations" page so that your ads can get smarter!
Check out this article that explains How to setup Cometly Conversion API for Shopify
If NONE of your sales are firing back to Facebook inside the ads manager, then you most likely have a setup error and should troubleshoot your Conversion API setup steps carefully to make sure you have things setup correctly.