I had this problem before but constructing a bulk goods bunker next to the station would fix it. Now it doesn't work any more. Maybe I am doing this wrong, I don't know.
I built a cargo line from a grain farm to a dock, from the dock it goes by ship to another dock in an island and from the island's dock to the grain mill. Then it goes to the bakery in the same island. The problem is the grain disappears at the first dock. The cargo horses delivery it and I get the money (3.20 £) but the cargo never gets in the ship or in the dock, it disappears.