Recurring Billing happens in the Gateway but not in Salesforce
One of the main reasons that a charge would show in the gateway and not in Salesforce is when a Validation Rule requires a field to be populated and it isn't populated through the batch. For example if your Salesforce record requires you to add a billing address and your gateway doesn't require that field then the record isn't able to be saved in Salesforce but will still be processed by your Gateway.
You can also check the Email Notification to see why the error occurred. If you don't see Email Notifications under your Related Lists, you may need to add it to the Page Layout.
If you aren't seeing the Email Notifications you should check the following
Note: When using Validation Rules you want to be conscious of legacy data. Creating a Validation Rule starting with new Orders may cause problems with the updating historical data and Recurring Billing.