Often times in Elder Scrolls games I end up exploring and doing things like hunting before starting the main quest. I happened to find a shout before I started the story. I then decided to do the story line to use the shout.
While I was on my way to High Hrothgar I ended up killing a dragon that was not part of the quest. I noticed that the shout was not activated when i absorbed the soul. Figuring that I needed to get farther in the story line, I made my way up the steps to High Hrothgar. I received the Shout Whirlwind Dash and I thought that my dragon soul would now be able to be used because I learned how to take knowledge from dragons.

I opened up my magic menu to switch Shouts and I noticed that the Shout I had found earlier had vanished. I was confused and went to the spot where I found the shout. I could not re-learn the Shout and it was not in any or my menus. I ended up loading a save that was 8 hours earlier, before I found the shout.

Is this the penalty for exploring without doing the main quest? Is there some fix?