We have the same issue but I know why:

firstly, are you saying entities are not capturing in MS Sentinel (this is our issue too). If you pivot to to Microsoft 365 defender you will see the entities for the given incident or alert.

I was told by MS support that at this time entities do not capture from MS 365 defender for all incidents. This is an up coming feature which Microsoft are working on to bring entities into Sentinel. For now you have to pivot into MS 365 defender to review the entities. Not ideal for analysts but I guess the MS 365 Defender data connector is still in Preview mode,