As the Qlik documentation highlights:
"You can also use Not Exists() to determine if a field value has not been loaded, but caution is recommended if you use Not Exists() in a where clause. The Exists() function tests both previously loaded tables and previously loaded values in the current table. So, only the first occurrence will be loaded. When the second occurrence is encountered, the value is already loaded."
In other words, for your example, all Q42021 values will be loaded from the first load, and then the first value for each period (excluding Q42021) will be loaded from the second table. This is correct behavior.
See the documentation for a suggestion on how to work around this that you may be able to use.
To be able to get all values for Lucy you need to change two things:
Add a preceding load to Employees where you rename Employee to Name.
Load Employee As Name, ID, Salary;
Change the Where condition in Citizens to:
not Exists (Name, Employee).