I've had 6 Banshee's in the entrance corridor on Sunny Meadows this past week and every time we have not been able to find the orb. This has happened when we have had all 3 evidence, so it should be there. All 4 players have looked every time and no one can find it. In the end we have just had to end up guessing. Later today we had an Onryo in the same place and we found the orb for that one right away. So I don't understand what's going on.

there's a bug reporting section for bugs.

The banshee has an ability to roam to it's target player which can result in it seemingly following them around. So I feel like that could have been a possibility.

So it could have been possible its home room was somewhere else and the banshee was just going to the target player right from the game start and because you thought the entrance was the ghost's home room you all stuck around there and so did the banshee following after it's target.

Though admittedly it's a bit of a dubious theory. I can't imagine it coming from that far away because that'd take so long you'd be long gone when it reached the entrance. And the only rooms that feel close enough are the entrance side rooms which you likely would have checked and the chapel. And that also seems highly unlikely to happen 6 banshee encounters in a row.
On the other hand though, highly specific and unlikely scenarios that confuse players enough that they make a post about it aren't that rare.

Here's a little tip to check for a banshee: Go somewhat far away from the ghost's location, not too far but far enough it'd be ridiculously unlikely for the ghost to randomly roam there. Maybe also put some salt and/or a motion sensor to know it's here and wait a bit. The Banshee would keep coming back to you every now and then. Can also be used to test who the target is without a hunt since it'll only focus on it's target (if they are inside).
The Phantom and Wraith will have similar behaviours, except the phantom will walk towards a random player instead of the same one every time and the wraith will teleport directly to the player (as well as not step in salt).
They also eventually start roaming back to their home room so if you are in the wrong place they will often do a bunch of activity near you and then seemingly disappear as they leave and walk back to where they came from.

It is very likely that the banshee just wandered over to the players and were following them, and so it wasn't the actual room. Though I have had a bug where all the evidence was in the entrance corridor but the orbs were back in the wash room. I think they fixed that bug though, but could always check back there if it happens again.

Ghost room wasn't entrance. Banshee using it's ability got close to the players.

The ghost room was the entrance, we had the board and asked it where it was. The rest of the evidence was there, just not the orb

Originally posted by SabineGO:

The ghost room was the entrance, we had the board and asked it where it was. The rest of the evidence was there, just not the orb

The board doesn't tell you what the ghost's room is no matter how you phrase the question- It will only ever tell you where the invisible ghost entity currently is.