Something I just noticed after grabbing surf is the board won't appear when I hit any button, S or otherwise. It only started happening after I left night market, and going back to the night market doesn't bring it back. It does come back when I regrab the ability, and continues to work from then on. You can also clip through energized rails.
Okay, so specifically it stops happening when you hit harmful surfaces, like liquids, thorns, etc.
Edit 2: As I test this glitch, it seems to only happen specifically when I train to the sludge wastes.
Edit 3: The Sludge Wastes aren't the issue, it just randomly doesn't work.
Edit 4: After reloading the save, now it always works? I can't tell if there is actually a glitch at this point, but I needed to collect Surf like 12 times for it to work, so.
Edit 5: There is a pool of liquid you can clip through in the sludge wastes(The Lady Lake zone), similar to the way it interacts at the weather station, but it damages you instead.
Last Edit: I believe all the clipping has to do with the way the surfboard interacts with damage. Because when you hit water normally, you are teleported away. With the surfboard, you aren't. There wouldn't be a need to make collision for stuff that damages you, because you would just go back to the last platform you stood on. Surf seems to disable this function, so it results in you taking damage while falling through the damage box. This also happens in a similar way with the waterfalls in the Sewers.