I would guess that you are using the latest release of the Mac OS?
If so,for More Information see: Shortcut for Layout disappear
This is one of many acknowledged bugs that can be found in the Known Bug List thread here in the Report an Issue section of the forum.It can also be downloaded as a database file from: https://www.dropbox.com/s/jt09b82i0xijbu3/FMP%20Bugs.zip
I read the information. It looks like I have to wait for Apple to update Yosemite. Thank you.
FYI ... I had this problem even before upgrading to Yosemite.
If you have a copy of Keyboard Maestro, you can very quickly create macros to fix this problem. It took about 1 minute to create these macros in Keyboard Maestro.