Almost certainly in this case the Skymiles number isn't associated with the record locator. I've actually had it happen before -- even when purchasing on delta.com -- usually because of some internal Delta system that might've been down at the time. Probably a similar reason why sometimes you get a message that your ticket has been booked, but they weren't able to secure the seat you selected.

Good news is that you can go in and add your skymiles # to the trip -- by modifying the "Passenger Information" session and this should fix things and have it show up on your list of trips.