I have two possible guesses:
(1) The iPhone may have been using cellular rather than WiFi. If neither cellular nor WiFi assist are turned off, it might choose to use its cellular connection even if connected to a network. OR
(2) The device on which you are capturing traffic is not in promiscuous mode so you can't see traffic that is directed to the capture device in some way (including broadcast and multicast). Can you see any devices' traffic on the network besides the capture device and the router? If so, is that traffic that your device wouldn't normally hear and process or are you only seeing traffic that your NIC would scoop up for you normally? You may have turned promiscuous mode on before capture but Windows 10 has some issues with it and I personally haven't been able to capture WiFi in promiscuous mode from Windows 10 without an extra adapter. If you want to dig into that and look for an alternative adapter, I recommend checking out this SecWiki page which shows different wireless adapters' supported capture modes, though focuses on monitor mode.