I think that whenever you post something to the pygame mailing list it knows who posted it and doesn't send the e-mail to the original poster. That's probably why you didn't get it.
When I want to see if my emails have made it to the list, I check the archive: http://aspn.activestate.com/ASPN/Mail/Browse/Threaded/pygame-users
It's not instantaneous, but it seems posts are always up there within about a day