Just to add on to Daemon's post: if traffic disappears at I it may have been dropped as he says (fw ctl zdebug + drop to check this), but it is also possible that your filter was matching against only the pre-NAT destination IP address. If it is the destination IP address that is subject to NAT, the actual replacement of the destination IP address in the packet happens between i and I. So in this case the packet "disappears" in your capture and never reaches I (as far as you can see), but the packet actually just stopped matching your pre-NAT destination IP address filtering condition and continued onwards through I.
By the same token if the traffic seems to disappear after o, it is possible that the packet was dropped (though much less likely than between i and I) for some reason. What is far more probable is that you were matching against the pre-NAT source IP address, which will be transformed to the post-NAT source IP address between o and O, and the packet will once again seem to "disappear" in your capture, when in reality the packet was not dropped and continued through O.
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