Practically every egg in the grocery store is proof they don’t “need” to go outside, but I agree it’s “better” if they do.
It sounds like you could have a couple of different things going on. From your post they were laying well for a month after you locked them inside, so that change was not a cause. But the days are getting shorter. This time of year, that is the cause of a molt and them to stop or really slow down laying eggs. Have you noticed a lot of extra feathers around the coop? This could be part of your problem.
But you had a known egg and a chicken disappear. So, as others have suggested, make sure you don’t have openings an animal can use to get in. It’s possible the two are not related though. How big was that chicken?
When eggs or chickens disappear without a trace, one suspect is a human. Kind of creepy to think about, but I have to mention that. If there is no way a chicken could get out or something else get in, I have trouble coming up with anything else to explain the chicken if the door was locked.
It’s kind of unusual for wild animal type predators to get every egg over a time period. A snake will come every two or three days, eat a few eggs, then spend a couple of days digesting them before it eats again. Snakes can get in and out of pretty small holes and the eggs disappear without a trace.
The only other wild animal I can think of that can get through really small holes and eat eggs is rats. They don’t eat the shells though and they would likely leave a bit of a soggy mess behind. It’s possible though that the hens themselves would clean up the egg shell, especially if it is a rare egg because of the molt. And chickens like to scratch when they are confined in a coop. Maybe there scratching is covering up the soggy mess?
It’s possible one of your chickens has learned to open an egg to eat it. A lot of chickens will eat an egg that is already broken, the insides or the shell. To me that is natural and does not make them an egg eater. It’s when one learns to open and egg to eat it that it is a problem. I had one that would open an egg to eat it once. She would only open one or two a day and there was usually evidence left behind, shell and/or a soggy mess. But they don’t all act the same way so you can’t totally rule out an egg eater to explain the eggs.
Do you somehow have a pet dog that has access and has learned that the egg song is an invitation to a snack?
I’ll even mention something silly. Is it possible that due to the molt egg production is way down and that was a really rare egg that got scratched around and is now buried under bedding?
I sure wish you luck on sorting this one out. It doesn’t sound easy.