It happens, and as been said it looks as if it was well hit. I have had bucks that were well shot run 100 yards leaving virtually no blood trail for the first 50 yards. Thick cover with really misty rain is very poor for sent. Are you certain you started tracking where you though it was standing. Edge of forestry plantations are pretty nondescript and you could easily be 30 or 40 yards out. I had one once that I didn't think I had hit, indeed I went up to where I though it was and no sign what so ever. It went into the crop and then ran down a tramline before going out of site. Doing the sensible thing I did follow the tramline, after 60 yds picked up the blood trail and then after about 100 - over the brow of the hill picked him up dead. When dragging it back round the edge of the field I found blood and hair about 30 yards beyond where I thought it was - I remembered it standing next to a large thistle - just not which large thistle.
Roe deer are actually very small when dead and can easily get in under a bit of cover, or fall into a drainage gutter. In the course of our stalking careers we will always loose the odd beast. You have done the right thing in going back this morning and looking again, and also checking zero, and if there wasn't a nagging feeling you should give up stalking.
If you didn't find any hair or blood you might have actually missed. Why? - bullet might have clipped a twig, bit of grass etc., might have damaged during loading, or might have been a slightly underloaded cartridge, or deer moved as the shot was fired. I suspect I would jump high if a bullet passed very close under my brisket.
My only other observation is that in the evening with good modern optics its easy enough to take a shot at very last light, but last light is difficult to judge distance, and even more difficult to mark the exact spot a) where you took the shot from and b) where the beast was standing. Also if a deer runs its well worth waiting at least 15 to 20 minutes before following up. Let it die in peace quietly, or stiffen up. If it was wounded and you go straight in the can go out the other side of cover and keep going never to be recovered. If you are shooting at last light, the temptation is going and look for it immediately.