Sql-server – Turning “Set Statistics IO” for stored procedure doesn’t show all tables used in stored procedure – why

I'm reviewing a stored procedure that's been a performance problem. And I just realized that some of the tables which are used in the stored procedure don't even show up AT ALL in the results from Set Statistics I/O?

Is this normal, or a bug? It's a little disturbing because I use the results of Set Statistics I/O a lot, when figuring out what to index.

The tables that don't show up in the output of Set Statistics I/O are in a subselect on the main query, like the ActivityFeedCache table below:

SELECT *
FROM (
    SELECT AF.ActivityFeedID
        ,A.ActivityType AS ActivityType
        ,A.IconClass
        ,AF.SubscriptionID
        ,AF.ObjectID
        ,AF.ObjectType
        ,(
            SELECT L.Locale
                ,AFC.LocalizedMessage
            FROM ActivityFeedCache AFC
            JOIN Locales L
                ON AFC.LocaleID = L.LocaleID
            WHERE ActivityFeedID = AF.ActivityFeedID
            FOR JSON PATH
            ) AS MessageJSON
    FROM ActivityFeed AF
    ETC 
    ETC    
    ) AS Results    

This is SQL Server 2017 (RTM-CU13).

EDIT:
I've narrowed down to a small query that shows a missing table in the Statistics IO output. The Locales table is missing in Statistics I/O, but shows up in the execution plan. Here it is:

-- Locales table doesn't show in statistics i/o output
SELECT AF.ActivityFeedID
        ,(
            SELECT L.Locale
                ,AFC.LocalizedTeamMessage AS LocalizedMessage
            FROM ActivityFeedTeamCache AFC
            JOIN Locales L
                ON AFC.LocaleID = L.LocaleID
            WHERE ActivityFeedID = AF.ActivityFeedID
            FOR JSON PATH
            ) AS TeamMessageJSON
    FROM ActivityFeed AF
Where AF.ActivityFeedID = (select top 1 ActivityFeedID from ActivityFeed)

Here's the Statistics I/O output:

(1 row affected)
Table 'Worktable'. Scan count 0, logical reads 0, physical reads 0, read-ahead reads 0, lob logical reads 0, lob physical reads 0, lob read-ahead reads 0.
Table 'ActivityFeedTeamCache'. Scan count 1, logical reads 4, physical reads 0, read-ahead reads 0, lob logical reads 0, lob physical reads 0, lob read-ahead reads 0.
Table 'ActivityFeed'. Scan count 1, logical reads 6, physical reads 0, read-ahead reads 0, lob logical reads 0, lob physical reads 0, lob read-ahead reads 0.

And here's a small chunk of the actual execution plan XML, just so you can see the Locales table is actually being used:

  <IndexScan Ordered="true" ScanDirection="FORWARD" ForcedIndex="false" ForceSeek="false" ForceScan="false" NoExpandHint="false" Storage="RowStore">
    <DefinedValues>
      <DefinedValue>
        <ColumnReference Database="[Database1]" Schema="[dbo]" Table="[Locales]" Alias="[L]" Column="Locale" />
      </DefinedValue>
    </DefinedValues>
    <Object Database="[Database1]" Schema="[dbo]" Table="[Locales]" Index="[PK_Locales]" Alias="[L]" IndexKind="Clustered" Storage="RowStore" />
    <SeekPredicates>
      <SeekPredicateNew>
        <SeekKeys>
          <Prefix ScanType="EQ">
            <RangeColumns>
              <ColumnReference Database="[Database1]" Schema="[dbo]" Table="[Locales]" Alias="[L]" Column="LocaleID" />
            </RangeColumns>
            <RangeExpressions>
              <ScalarOperator ScalarString="[Database1].[dbo].[ActivityFeedTeamCache].[LocaleID] as [AFC].[LocaleID]">