I made a deposit by check/share draft or cash and received a receipt, but the credit union says that its records do not reflect the deposit. Since I have a receipt, doesn't the credit union have to credit my account?

You should contact the credit union and provide a copy of the deposit receipt. However, the deposit receipt is not conclusive evidence that you deposited the funds. 

If the deposited item was a check, you will need to contact the party that provided the check to you and obtain a copy of the front and back of the check. If the deposited item was cash, and the credit union does not agree to honor the receipt, you will need to consult with legal counsel about your rights.