so you are in the layout (tab),
you open the Z order bar from the ribbon (or you have the z order bar pinned),
you switch to te event sheet by clicking its tab ....
Now the Z order bar is showing the objects.
Wich is, i agree a bit confusing. Althaught i never used it that way, so it never botherd me.
Now, when you try to change something in the Z order bar, the Z order bar goes empty. No object dissapears, the Z order bar just shows empty. Wich (mayby just maybe) should have happend (to avoid confusing) on the moment that you switched to the event sheet (by clicking its tab).
It is really not needed to change Z orders while working in the event sheet. I never had the need to do that. Just like i never had the need to place tiles from the tile bar into the layout when working in a event sheet.
My 2 cents.