If it makes the sound, it's taking the pic. You may not know where it's putting them, however. Have you looked in your Desktop, Downloads and Document folders? Also, you can use Finder to search for any image files created in the past day, which should find them, wherever they are.
To change the default folder for screencap images, type the following in Terminal.app:
defaults write com.apple.screencapture location /Users/username/Desktop/ (or whatever path you prefer)
killall SystemUIServer
Or you can install
Secrets preference pane to select your default screencap folder.
Taking Screenshots in Mac OS X