It is not unknown for males to eat their eggs. They might do this beacause, as jim mentioned, they get covered in fungus or because they feel that the is something that is going to stop them being raised well (water parameters are out).
the other reason eggs disapear is that a male who is inexperenced may fan them too hard and they can get kicked out. this is the far more likely expanation. once they are out of the cave they become just like any other bit of food and can be eaten by almost anything given the chance.
Have a good look around the tank for the eggs and see if you can find a few and throw them into a tumbler.
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