To recreate: Activate Vanish first (backstab an enemy), and while the Vanish buff is still active, use Infiltrate and attack anything. The Cloak of Mist buff will not activate after attacking this way.
I made a short video showing this in the modded realm with Creature Spawner
(You can tell CoM doesn’t activate by the fact that the buff never appears at the bottom of the screen)
[Vermintide 2 (Patch 18.104.22.168) Shade Cloak of Mist Bug - YouTube]