What were you told when you "set up auto-pay immediately"? Normally, when setting up auto-pay, you get a message that it can take awhile before it would take effect and to continue paying your bill manually UNTIL you get a notice that your bill would be paid automatically. Look at your previous bill. Does it have a statement saying your payment will be made automatically on such and such date? If not, auto-pay had not yet taken effect and you would have had to make that payment manually.
Another option would be you set your auto-pay data AFTER the due date on the bill and as a result, payment was not paid in time to avoid a late fee. Setting up auto-pay to pay late does not keep you from being assessed a late fee. I normally have my auto-pay set to be paid 5 days before the due date, that way if there is a problem with the payment, I can manually make it at that time.
One last idea would be your payment information was not input correct and payment was denied when it was requested.