Re credit union. For the time frame you're talking about, not all credit unions were members of ICB. Unless they were at time you drew down loan, and disclosed to you that loan would be reported to ICB, they have no right to ever report it.
For the mortgage many things could have happened. It might have been transferred to a subsidiary / external company that aren't registered with ICB. Or they might have reported it as written off (or similar) a long time ago, and it's expired.
Of course, there might be an error on your address and ICB weren't able to do an exact match.
I wouldn't go down the route of taking out loans just to improve your credit rating. A credit card will achieve the same for you as it's reported every month.
We don't have a credit scoring here like they have in the UK. Banks will have their own internal credit score, but all they check ICB for is to see if you've other loans, and if they're in arrears.