Some time ago on a ships passenger lists mailing list, my friend Sue Swiggum of TheShipsList.com discovered that the total number of passengers on a filmed Ellis Island list matched the number of third class passengers only. All other passengers were missing.
Investigations and consultation with a knowledgeable colleague gave us the answer to the puzzle of the missing passengers. There are always exceptions, but in general from about June 15th 1897 until approx. March or April 1903, the lists for first class and second class passengers were not collected at Ellis Island and do not survive, so therefore will not appear on microfilm, nor in the Ellis Island online database.
So if you are looking for ancestors and you are 100% positive they arrived at Ellis Island between 1897 and 1903, be aware that if they travelled first or second class, you might not find their names.