mistakes?


And another thing: it frequently says “missed mate” or “missed win” but even if I retry, the “Best” next move still isn’t a mate or a win.

In general, engine is almost always right. On lower depths (like depth 10) its evaluation might sometimes be shaky, but even then it is generally right.
On higher depths, that engine is stronger than any human, including strongest grandmasters and it is almost 100% right.
I think with the engine its helpful to compare lines not individual moves. So when the engine says you made a mistake, play through its preferred line, say 3 or 4 moves, and understand the idea, there may be a tactic, or it might have opened a file and grabbed control ready for a rook lift, it may be improving control of a key square, or gaining space on the queenside. Look at a few moves and try to summarise the idea and compare it with your plan.

No matter how much of a general question it may be, these things are always very situational and there’s no one size fits all answer. If I had to guess, I would imagine that the machine didn’t want to put more material at risk ‘for no reason’ but that it’s more likely the reason just wasn’t apparent to you.
As has already been suggested, pop in an example (when you get one) and someone will most likely figure out what’s going on.