You should be able to see this message either at your Tapas wall (if your interlocutor has initiated the private dialog), or at their Tapas wall (if you have started the dialog). Try to scroll walls further, these private dialogues can easily go buried deeply down by other posts.
Also you can reach it from notification page, but only for a while. They usually dissapear from it in a day or two, while stay saved at the wall.