Same thing happened to me, beat the entire campaign on veteran and didn't get the completion trophy. Mission selection screen said only the first 4 were beaten on any difficulty so I had to replay from then on...even though each missions trophy unlocked just fine. Must be some kind of save glitch. Now the last mission after beating it still won't say I've completed it after a few playthroughs so i am out of ideas, I even let the credits roll through, then tried skipped em. I guess it doesn't matter until they fix the issue.
UPDATE: After returning home from dinner, I decided to give it a go from the captured mission on, I did everything as I always had just wanted to see if it would work. Beat the last two missions and all the campaign trophies popped. So double check your mission select screen and any that don't say completed on veteran you'll unfortunately have to replay as I did (vet was a joke on this game anyways so whatever) but if that STILL doesn't work try it from the second to last mission on. Seemed to have worked for me! Hope this helps someone else as unlucky as I was.
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