I had exactly the same situation! I have never had chicken pox despite being in very close contact to them many times so I assumed that i had natural immunity. Before I got pregnant first time around I got a blood test done and it said that I didn't have immunity so I got vaccinated. However a blood test while pregnant revealed that i still wasn't immune.

I found out that you need 2 injections 6 weeks apart and I didn't get told or reminded about the 2nd injection so it didn't work. I had mine done again when DD had hers at 18 months and this blood test came back showing that I had immunity.

Did you get the 2 injections when you had yours done or just 1?