1) You are not wrong in stating line-currents from utility source to delta-side winding is zero!
2) What do you mean "Missing" current!
3) Regarding "Most other lines add up as vector to zero.. " is only true of the 480V source line-currents.
4) It isn't true of the three (3) 208Y/120 phase lines to the panel. If it were true the neutral-current would be zero... even with unity-pF loads!
5) It isn't true of the currents within the closed-delta! The zero-sequence current IS the circulating-current!
Phil
Ok, that explains it. Zero sequence current.
By "missing" current, I mean that if you put an ammeter clamp around all three current-carrying conductors, you will not measure zero amps, or even a time average of zero amps, as you do with other systems in my familiarity (examples below). The A+B+C current does not add up to zero, so my instinctive feeling is to wonder what happened to the amps that are not accounted by the three known CCC's.
Examples:
2-wire DC. Current goes out on the positive, and all of it returns on the negative. Positive current + negative current = 0
1-ph/2-wire AC. Current goes out on the line conductor, and returns on the neutral. Neutral current = negative of line current. It adds up to zero.
1-ph/3-wire AC. Current goes out on the black line and returns on the red line. If any imbalance occurs, it returns on the neutral. Black + Red + neutral currents = 0.
3-ph/4-wire AC. Current goes out on the A-phase and the return current on the B & C phases add up to the opposite. If any imbalance occurs, it returns on the neutral. A + B + C + N = 0.