Currently, (as of Hotfix#8) When you throw a bound weapon before combat has been initiated, i.e. before there is a turn order, IF anyone rolls a higher initiative than the person throwing the bound weapon, the weapon will fail to return, AND the bond will break. I'm guessing, this is because there tends to be some lag between when the weapon impacts, and when it is returned to the character, and initiative being rolled interrupts that sequence. IF they forced the game to resolve the weapon throw before it rolls initiative I think it would fix it, but I'm not a programmer, just a progamer.
I also have had a thrown weapon completely disappear on me. But I think that is a separate bug.
The work around I have been using is carrying another weapon to throw to start the fight. It's not fun, but it works. I also carry the Returning Pike from act 1, "just incase" so I can have something to throw if I forget to bind or something.
PSA: You shouldn't be throwing any weapon that doesn't have the "Thrown" property. Sorrow lacks the "thrown" property, and therefore would be considered an "improvised weapon" which means it does 1d4 damage instead of 1d10, and you don't add strength mod (except from Tavern Brawler). There are SOME magical weapons that have the "thrown" property, when the base version of that weapon wouldn't, but those are the exception to the rule.
EDIT: Here's a link to my thread on fixing Eldritch Knight, and Thrown Weapons:
https://forums.larian.com/ubbthreads.php?ubb=showflat&Number=908090#Post908090