At first I thought it was only a bug, but I didn't find a way to fix it. Now it has happen three times: I'll slay dragon, dragon dies just like any other creature - you can see it's body and search it but you are not getting it's soul and it's not becoming skeleton like the ones you absorb. I have found nothing to explain this in game so have anyone knowledge why Dragonborn can't absorb every dragon's soul?

I could absorb every soul so far...

It is a bug, supposed to be fixed in the new patch

It is a bug, and the 1.2 patch supposedly fixed it.

Either it didn't fix it, or you haven't installed the update.

I noticed that now I cannot absorb dragons marked 'dragon', but I can if they are marked 'blood dragon', so maybe it's a level/scaling issue. 5 'dragons' killed, 0 souls absorbed. 1 blood dragon, 1 soul. Could just be a coincidence. These are all random encounter dragons, too. None quest scripted.

It probably has fixed it. I haven't fought any dragon after the 1.2 patch. I just forget to create this topic yesterday.

Depending on the last comment I started to check out what the 1.2 patch does and found this:
"Fixed rare issue where dragons would not attack"
It's weird they call it "rare" at least in my Skyrim every second dragon was refused to attack even if I tried to provoke them by shooting arrows and shouting.