Pat is correct however things can get a bit more squirrely than the obvious. For example. I was unknowingly not sending grid squares a few years ago, and would get emails indicating there was no grid square. WSJT-x was set right, TQSL was set right, but I was first sending the QSO from WSJT-x to QRZ logging, then doing a transfer from QRZ to LOTW. For weeks I checked settings in TQSL and rebuilt station locations with all showing OK.  I would  eventually do a work around, and copy the QSO out of the wsjt-x file and send it directly to lotw with TQSL which created a duplicate QSO record in LOTW, one with the grid, one without. When I finally nailed it down, it was a missed grid setting at QRZ.  

It probably is a missed grid setting from the station on the far end, and could possibly be anywhere from wsjt-x, tqsl or any other intermediary sites/software used to handle the QSO record.  If you ever need information from someone who has done it wrong...give me a shout. 

Dennis, I see you worked my buddy K3SX. Next time you work him tell him I said Hey! He is a regular on ping jockey and ON4KST. 

Randy/W5ZJ