Recently it seems that Delta is not allowing "protection" on itineraries with schedule disruptions. In a couple of cases I was confirmed on a delayed flight, asked to be "protected" on a later flight in the event that my original was either cancelled or further delayed. In both cases the SkyClub agents said I was protected and all set but when I go to view my itinerary online only the later (non-delayed) flight is listed - the original is gone.
Perhaps this happened to the OP?