Dennis, I can't help you with your problem, from your descriptions thus far I cannot see that you are doing anything wrong. When you use the Update PCB function do you get any warnings? If there are any warnings you will see a Warnings tab behind the configuration tab where you set the net connectivity to ports and nets global. Those warnings, if they exist, could possibly point you toward your issue(s).
Hmmm, are all your annotations (designators) unique? Duplicated designators will result in duplicate parts being ignored in a netlist or partslist. That might explain why some random parts are being left out on the two pages that do netlist.
You state that all three sheets show in the lefthand explorer window, but do all three sheets appear as sub-sheets below the *.prj sheet? Like subdirectories to the *.prj sheet if you were just looking at a MS Explorer window? All three should be inset and below the *.prj sheet. I am wondering if the third sheet is somehow not a subsheet of the *.prj sheet. Collapse the project sheet and all three of your schematics should not be visible in the Protel Explorer window.
On your last question, a netlist is not created because the Update PCB function doesn't need to create a netlist, it updates the PCB file directly. The only time that you need to create a netlist in P99SE is if you want ot pass that netlist to other PCB software. The update PCB function replaced the older generate a netlist, then load the netlist into a PCB functionality.
Now if you are saying that you can use the Update function to get a correct PCB with all the components and connections, have you tried to create the netlist from the PCB file? You can do this under the "D"esign, n"E"tlist function through the "Menu" button in the lower left of the pop-up netlist manager window. It should be a properly formatted Protel netlist, just the same as a netlist created from the schematic. Although you don't have the option to create differently formatted netlists from the PCB.