I'm sure you got your gold back and just overlooked it, that has always been the case when i actually looked into it (which takes quite some time since i need to dig around in the database backups and compare them). The way it works is that you get your gold back as soon as are overbidden, so at the time the auction ends you have no gold deposited and that is what the message says (there is no notification for this immediate return). There is the practically non-existent case that this immediate return fails, but in that case your deposit would be returned when the auction ends and the message would state that you had something deposited.
