This is by design. It’s documented in the Sage documentation: https://roots.io/sage/docs/theme-development-and-building/#asset-generation-with-yarn-build-vs-yarn-start
Because CSS/JS changes are updated with HMR, they’re inserted directly into the DOM and not loaded from a file. Because of they way they’re built during that process, they aren’t rendered out into a file. IIRC main.css is removed by yarn start so that its rules don’t conflict with the ones being loaded into the DOM directly.