We use those APIs all of the time and have no issues.  Are you importing the lines as closed (after the first)?  One troubleshooting technique is import a small 2 line order.  Verify it has the problem.  Then hand enter one and verify it doesn't have the problem.  Compare the data in tsoSOLine and tsoSOLineDist.  Make sure they are EXACTLY the same.  75% chance you'll see what's wrong - give or take.  Good luck.

How are you creating the pick lists and shipments?  What type of items are on the Sales Order Lines (Lot, Non-Tracked, etc.) Also, are these missing lines selected when you create your pick list?  If so are there any errors logged?  When you pick SO Lines in Sage 500 and there are no issues, it pretty much creates the shipment lines with no shipment key assigned yet..  If these do not exist then something occurred during picking.