So earlier today I was just moseying around Goldenglow Estate with my mage, when I encountered a dragon. I hit it with a few lightning bolts and it went down in the Estate, where I finished it off at range. I then found out I couldn't get in, because I wasn't in the Thieves' guild, therefore I couldn't absorb the soul or loot the dragon's corpse; it just stayed there, dead, heavy, and scaly. I looked at it and said, "Hang tight, I'll be back for ya." When I finally did the thieves' guild stuff to get in there, the corpse was gone. However, when I went to around where the corpse
was, the "absorbing soul" effect showed up around my character, without sound effects. It finished and I heard the musical bit for "Dragon soul absorbed" and I believe the accompanying text did show up, though it may not have.
I looked in my shouts menu, and sure enough, it said I had 1 dragon soul. Buuuut when I tried to use it to learn another word, a message showed up saying I don't have any souls. Color me sad, since my game has almost never let me fight dragons in the first place (70% of the time they just fly around for a few minutes and then leave, compared to my first character, who gets attacked 90% of the time they appear).
Long story short, it looks like when you kill a dragon but don't go near enough to the body to trigger the soul-absorption event, then go back after the corpse has been "cleaned up", you'll absorb a dragon soul that you can't use.