If your cj cookie didn't get it, then an in-house cookie would have gotten the sale. It wouldn't make sense if we did two payouts for every sale. I could look into it more for you if you pm me the domain name and affiliate ids you have with us.
If you have any more questions please give me a pm.
I'd recommend going direct with HG for affiliates that way there aren't additional parties to deal with.
I'm not saying I don't recommend it, I do, but for affiliates who make a couple of sales per month, the choice will most likely be a no brainer, just as it will be for those making regularly more than 20 commissions.
I have already written to CJ about this issue and waiting for their reply. As far as I know, unless a cookie is set, it is not possible for even a inhouse to track the commisision.
Anyhow I have decided to join Hostgator In-house affiliate program that will remove the hassles of third party codes and tracking.
I have learnt one thing: Always test your links and see wheteher they are being properly setting cookies as stated by the program. Otherwise you will be sending a lot of traffic without any commissions.