I had a pc in shackles, and when I attacked them (once with Sparring mode making them Winded, and again with Subdue mode) while they were shackled, it seems that the shackles' encumbrance effect (and item itself) were removed, yet I still had the shackles key. It disappeared from the shackled pc's inventory -- completely unrecoverable.
I imagine one of the subdual modes wiped the effect accidentally.