Mensajes perdidos de NServiceBus

I have some messages that are disappearing only in Production.

In the logs it shows the method HandleBeginMessage() being called immediately followed by HandleEndMessage() without any handlers being called in the middle (this only happens sometimes!!!!)

public class OracleMessageModule : IMessageModule
{
    public OracleMessageModule()
    {
        Factory = new OracleSagaSessionFactory();
    }

    public OracleSagaSessionFactory Factory { get; set; }

    public void HandleBeginMessage()
    {
        Factory.Begin();
    }

    public void HandleEndMessage()
    {
        Factory.Complete();
    }

    public void HandleError()
    {
        Factory.Complete();
    }
}

So I upgraded NServiceBus from 3.2.8 to 4.6.1 (latest version at the moment) and refactored the code:

public class OracleMessageModule : UnitOfWork.IManageUnitsOfWork
{
    public OracleMessageModule()
    {
        Factory = new OracleSagaSessionFactory();
    }

    public OracleSagaSessionFactory Factory { get; set; }

    public void Begin()
    {
        Factory.Begin();
    }

    public void End(System.Exception ex = null)
    {
        Factory.Complete();
    }

}

There's the code for OracleSagaSessionFactory:

public class OracleSagaSessionFactory
    {
        public string ConnectionString { get; set; }

        [ThreadStatic] 
        private static OracleSagaSession current;

        public OracleSagaSession Begin()
        {
            if (current != null)
                throw new InvalidOperationException("Current session already exists.");

            var session = new OracleSagaSession(ConnectionString);
            current = session;
            return current;
        }

        public static OracleSagaSession Current
        {
            get
            {
                return current;
            }
        }

        public void Complete()
        {
            var c = current;
            current = null;
            if (c != null)
                c.Dispose();
        }
    }

Looking at NServiceBus code looks like in the new version it cleans the Pipeline, so that's why I believe this is the solution, and I don't believe this is my code problem...

Anyone agrees or disagrees?

Edit1: It only happens on my master node with multiple threads and just sometimes. It doesn't happen on my slave nodes that use just one thread.