Maybe Peter, Ancestry needs more competition, as like FMP they have some good records but some of the recording has been slapdash as in the case of the 1911 census where there is no source recorded; if you want the source you can either look at the downloaded original or go to FMP in the hope that the latter has the same census.
It's not quite true to say that Ancestry do not record the source for the 1911 Census; in fact they give the Piece Number, the Registration District Number, and the Enumeration District Number as part of their transcription, and the TNA reference RG14 is under the Source tab. It's the schedule number that hasn't been transcribed, but - as you say - it is in the top right corner of the schedule, so not hard to find. I certainly hope that there is nobody reading this who takes information from transcripts without checking the source images when they are so readily available.
However, because the schedule number hasn't been transcribed you can't search by schedule number (which is why at LostCousins we use Findmypast for checking the 1911 England & Wales census entries). If anyone has noted their 1911 information but not recorded the census references they can get the information free from FamilySearch, whose England & Wales census transcriptions are provided by Findmypast (even, ironically, the 1881 census).
The 1911 Census was an unusual project for Ancestry, partly because they collaborated with The Genealogist, and partly because they digitized and indexed the summary sheets before the schedules. As it happens, the transcriptions of the summary sheets do include the schedule numbers.
Even FMP doesn't seem to have all the 1921 Census records.
I'm not aware of any missing records, but it wouldn't surprise me if a few schedules are missing given the size of the project and the limited time that Findmypast had. Are you talking about records which exist, but are missing from the database, or records that you are unable to find, so might or might not be missing?
Considering how expensive these sites are as well as My Heritage they should be better.
'Better' is a relative term: we all have different expectations. But one thing I can say is that those who expect perfection are doomed to be continually disappointed - the reality is that people make mistakes (and that includes everyone reading this).