I am not on the computer where FTM is, so this is from memory. But as I recall, when you attach media to a fact/event in FTM, it does not also become linked automatically as "person" media. But when you sync that to the member tree, any media attached directly to a fact/event becomes part of the person's media gallery. That in turn syncs back to FTM and becomes attached to both the fact/event and directly to the person.
Attaching media to a citation does add the media to the person's media gallery in the member tree, but unlike media attached directly to a fact/event, it does not sync back to FTM and link it directly to the person.
In FTM, when I look at media attached to an event, it is also linked to the person (after initially syncing it to the member tree). When I look at media attached to a citation, it is attached to the citation only. When I look in the member tree, media attached to a citation shows that it is linked to the person only (although when I open the citation, it is shown there also). When I look at media attached directly to an event, when I view it from the media gallery, it shows as being attached to the event.
I wonder, if, after you created the citation and deleted the connection to the media for the event and the person, if it in turn deleted the media from the citation in the member tree? If you did it in a different order than previously, that may have made the difference.
I have done exactly as you have - attached media to directly to a fact/event, then later created the citation and linked the media directly to that instead - and I have not yet run in to the problem you have experienced.. but it is something I will certainly pay attention to in the future!