there are some issues that can lead to this like wrong blockchain ,wrong algo ,problems with ping ,outdated wallet and faulty miner but i guess most important problem if the wallet is configured correctly is the miner i'm not really experienced with cgminer but when solo mining doesn't even show orphaned block it means miner is mining fake blocks if you take a screenshot of your cgminer screen we might be able to help more.
I can't take a screenshot as this happened yesterday. cgminer only said I solved a block. It showed a Best Share 5x the diff and when I quit it the stats at the end said solved one block.
I'm local solo mining with pool software. One server running Ubuntu runs the pool software (unomp) and then I just point all my machines at it. The pool doesn't show block stats with this algo so I just keep a coin explorer open and check the wallet balance.
So odd. Since my balance didn't increase I would be for sure the pool wallet would show an orphan..
Maybe I was working on old work?