I just found an answer somewhere and it seems to resolve the issue for me: Apparently, if you deduplicate, usually the Pixel event is kept while the Conversions API event is discarded. If the Pixel event for some reason can't be used for attribution, as a result there is no attribution.

What I did is pausing the purchase pixel event in GTM and testing (clicking on the ad link and placing order) and suddenly this conversion was in fact attributed. https://www.ablecdp.com/blog/two-reasons-why-your-facebook-conversions-api-integration-doesnt-work

I'll be keeping an eye out on this actually solving the issue for good, but hopefully this will fix it for you as well.