SAP has a instruction in the code that if you are doing an intercompany sales order (Sales Order belongs to company code A, and plant in the Delivery belongs to company code B, for example) the PA Object is blanked out. Check if you have multiple company codes between the Sales Order and the SCD.
I had to use the BADI_SCD_ACCTG to bring the PA Object back to the SCD on those cases.
If it is a STO there is no PO too, but we don't do PA in this case.
Check if the PAOBJNR is populated on LIPS table.
Check with your CO-PA colleague too.
If you SCD Item category is set to use Profitability Segment, it suppose to work okay (if CO-PA is properly configured and if this didn't fall in one of the situations above)
I hope it helps.
Leandro Nascimento