I sometimes have the same thing happen. Don't give up hope, though, because sometimes the side buds will burst out a month later.
As Patrick suggests, it's probably that the scion's tip had already 'decided' to grow before being grafted. It grew, then ran out of steam. Perhaps the bud was a little too developed when grafted.
Also, the rootstock, as well as the scion, should be in a growth flush when grafting for best success. This can be promoted by watering with RAIN water.
My one criticism of most grafting books, including Garner's handbook, is that they don't emphasize the importance of the plants' growth condition. Cambium contact is only half of success - timing is almost as important. The rootstock shouldn't be in a dormant state when grafting.