Has anyone had any issues with the VA? They told me they have none of my medical records just proof of me serving in the military.

I've had, and still have issues with the Veterans Affairs.
When I separated from the Air Force in 1994, it was not the norm for service-personnel to automatically file disability/compensation claims. In 2008, while in Seattle, I met with a counselor from Transition Assistance who encouraged me to apply for an increase of my service-connected disability, which was rated at less than 10%, although it was acknowledged to be service-connected, because my symptoms were returning. I never heard from the VA until 2010, more than three months after I left Washington for a USAF-civilian position in Colorado. The communication I received advised me I had been scheduled to meet with a specialist in Seattle. Thanks, VA, but I live in CO now.
Two years later I was hired as a civilian-contractor and prepared to deploy to Afghanistan. I signed up for a Provider through the Denver VA, received my Physical and Dental approvals to deploy, and reported to the Deployment Center.
While waiting for my security clearance to be processed after completing all of the required training modules, the company sent me 'home. 'Home' that is, that consisted of all of my household goods in boxes in my sister's basement in Iowa, as she had agreed to become my children's guardian during my 1-yr deployment. I could not wait to be paid when my boots hit the ground in AFG, so I took a temporary position as a Forklift Driver. The client changed my job duties, and I dutifully reported this to the temp agency. I was tasked to lift {{heavy}} tractor parts in the Repack section of Ryder Transport. Although my left arm was bruised from my inner elbow to my inner wrist, I didn't know I was injured... dislocating two vertebrae in my neck. I sought treatment at the local civilian hospital in Waterloo, IA, and a week later made a 2-hr (one-way) trip from Waterloo to Iowa City, IA to seek treatment through the Emergency Room at the VA hospital.
I was diagnosed with Radiculopathy, and assessed as 100% Non-Service Connected Disabled.
Two weeks later I returned to Denver, injured, but assured of medical treatment.
My children and I were homeless, and when I reached out to the VA to seek assistance through the HUD/VASH program, I was turned away... told the voucher program was specifically for men who had PTSD, or alcohol/drug-dependencies that required active case management.
Gee, thanks.
Nothing like the VA telling you that almost eight years of your life doesn't mean a thing when it comes to determining who gets VA benefits/programs, and who doesn't.
Four months later I applied for a Pension based on the 100% Non-Service Connected Disability, during a Homeless Veterans' Stand Down. My application was expedited, thank you to whomever processed it, but... I view dealing with the VA like I view dealing with the military: dot your 'i's and cross your 't's, and keep a copy of everything. I submitted my children's birth certificates and SSN cards with my Pension application. This wasn't my first dog & pony show at the rodeo.
Somebody processed it as a Single veteran. When I brought this to the attention of the VA the first week of January 2013, I was told I would have to file an amendment to my application, because somebody didn't do their job properly.
It took me 9 months of following up with the VA to get a 10-minute phone call from the Minneapolis office that handles Dependents, for a case manager/supervisor to verify I have (2) Dependents. Okay, so he added my Dependents to my record and the VA paid me retroactively for the 10-months of Pension paid at the Single rate.
During this time, actually right after my Pension began, my monthly disbursement dropped by almost $150-160 per month for the first quarter of 2013. So not only was I *NOT* getting the correct rate, I wasn't even getting the Single veteran rate... later, in June or July of 2014 I discovered it was because I had been charged for medications when I was, in fact, exempt from Medical co-pays and Medication charges.
Why?
Because when whomever entered my Eligibility information into the computer, they made a typo.
Instead of entering my Eligibility date as Nov. 12, 2012, they entered '2013'. So when the Billing system (computer) ran the IF/THEN qualifiers to determine whether or not I should be billed, the computer determined I wasn't exempt until November 2013.
Awesome.
Not so much.
I contacted the Denver VA hospital to have the charges reimbursed. A year later I was STILL waiting for almost $600 of my Pension to be returned to me.
Oh, and because the VA changed the way Travel Pay reimburses the veteran for travel to/from appointments (no more cash paid from claim vouchers), I had submitted financial information for a reloadable Mastercard.
When I was calling the VA every 2 weeks this past summer, and calling the Patient Advocate's Office, I got no response from the individual who was identified as the only one to make the reimbursement happen, and the PA was no support.
A week and a half ago, on Nov. 17, 2015, I discovered, based on another Patient Advocate contacting me after yet another set of phone calls to their office, that $160.36 had been deposited to the account info on file. I forgot about the Mastercard, so I told the PA I had contacted my financial institution and they have verified no other deposits other than the Direct Deposit of my Pension. The PA gave me account info where the money had been deposited and left me to track it down. She called me that afternoon to tell me they were still working on a repayment of $359.
More than a year after seeking reimbursement, the burden of proof for the charges were tossed at me by the PA, and after numerous phone calls to EVERY department of the VA except Education/Retraining and Burial, and it's finally being processed.
Every interaction I've had with the VA has been one cluster-you-know-what after another.
People don't do their jobs properly, there's no accountability for the unprofessionalism, and they do little more than give lip-service to the "Thank you for your service" when they put all the stress of getting errors corrected on the veteran.
If I wanted to work for the VA, I would have applied to them as a job applicant. Really, I would have.
Moral of the story: keep a copy of everything you submit to them. They will either lose the original or someone will FUBAR your application(s) and records. Stay on top of them. If they tell you they will get you an appointment or a program, write down that person's name and email/phone contact. Follow up with them if you don't get the promised care or benefit within 30 days.
And one more thing: NONE of the VA's computer systems from one department to another talks to, or exchanges information with another department. So if you need to complete a change of address or update your service file, you'll have to call each department - VBA (Benefits), Eligibility, Medical, and Billing independently, and submit that information.
--Sorry for the lengthy story but there were several issues.--CM

I went to my medical unit, got a copy of everything and personally gave it to the VA. Then before retiring ( make sure this is before you leave the base) I made another complete copy for my home records. Haven't had a problem since.

Are they at a different VA?

VA won't have your medical record until they request and get it from the Service. It's usually the Service that botches the archiving. That's why it's always recommended to copy your entire record just before you punch out. Things can go missing from that point on.