The photo was on ancestry.com for a couple of years and had been synced to my FTM tree. Sometime after I linked the photo to the event, it was no longer displayed on either tree and was not in the ancestry.com media file. I did finally locate it in the FTM Media folder.
The transcription was saved on ancestry.com, so shouldn't it have stayed there? I understand if I didn't wait for the trees to sync completely, but since I didn't originally save the transcription to FTM, I don't know how the transcription disappeared.
The next time I link a photo to an event or add a transcription, I'll pay extra close attention to make sure I'm not forgetting to do something. I'm just glad I didn't lose the photo.