A user creates a Goal (or simply opens an existing one), recalculates and checks the Actual and In Progress values, which look correct. When they go to see the "participating records" they don't see any there, which is very confusing for them.

This particularly affects the "Actual" participating records in many scenarios, since the definition of "Actual" often equates to a closed status (such as Opportunity won, Order fulfilled, Lead qualified, activity completed etc).
The default view used for the participating records grid is the "Associated" view, which for most (all?) entities is filtered to only show Open (active, new etc) records.

There is no reason to use a filtered view at all, since these records by definition are filtered by both the related Rollup Query and by the Goal Metric, and the dates according to the Goal date range vs Rollup Field dates. It would be much more useful to simply use the "All..." view (but this assumes such a view exists), or to use a modified version of the Associated View which must exist since it is a system view (ie use the layout but not the query/filter).

Alternatively, have a field below each rollup query (for actual / in progress) on the Goal form to allow the user to choose a suitable view from those published in the system, so they could even use a custom one most suited to the job for Goals.