The bug

Although both its rider and the chicken could despawn on their own, chicken jockeys cannot despawn if both mobs are together.

To reproduce

1. Find a chicken jockey. Apart from using the summon command (which I wanted to avoid), this is easiest done by repeating the following steps. (They only work if there aren't any non-jockey chickens, so I tested this in the nether with zombified piglin jockeys.)
   1. /tp ~ ~500 ~
   2. /tp ~ ~-500 ~
   3. Check if there's a chicken by using /say @e[type=chicken], and if there is, continue. If not, repeat.
2. Teleport to the chicken jockey
3. /tp ~ ~500 ~
4. /tp ~ ~-500 ~
   → The chicken jockey didn't despawn
5. Kill either the chicken or its rider
6. /tp ~ ~500 ~
7. /tp ~ ~-500 ~
   → The remaining mob despawned

Credit

Found by Rays in this video: https://youtu.be/uJVkdTpdI2o?t=355

As opposed to what is said in the video, this is not a large issue since chicken jockeys count towards the animal (Creature) mob cap and not the monster mob cap. As such chicken jockeys do not prevent monsters from spawning. However they do prevent animals from spawning and are less rare then previously.

I assume that mob spawning was turned off in Ray's world, which would explain why no mobs spawned in the nether apart from the already existing chicken jockeys.