I would't say frequently but it does happen. Nothing different to most airlines though IMO. I have had my baggage lost once in the many flights I have taken. It was checked through from Sydney to Shenyang and when we arrived at Shenyang it was not on the domestic flight. After presenting our baggage slips a few calls were made and it was located, sent on the next plane and delivered to our appartment later that day. Was no problem at all but that may well be because my partners relative works in the VIP section of Shenyang airport and he did all the follow up for us.  

I can only speak from my own experience. In all of my flights across China, it hasn't happened not even one time.  In the United States, it happens quite regularly, and my luggage has been pilfered, items have been removed, etc., etc.  JFK in New York is the worst for this and essentially the baggage handlers there are under mob control.  Just awful.  In comparison, China is much better, at least in terms of my own experience.