I had bought a couple illuminated engrams the other day and used all but one. I came back on the following day and was leveling up my warlock past 20, where I should have been getting bright engrams with every level above 20 (which it told me I was getting) however, I only ever had 1 engram in my inventory. I opened it in hopes of it refreshing the ones I should be getting, but to no avail. I even tried logging out and back in to see if they got put in the mailbot, they did not. My warlock is currently sitting at lvl 22 and I've only had the one Illuminated Engram that I purchased, with no others being in my inventory.
Is that your first Warlock you ever leveled up or is it a second one after deleting a previous one? It is known that if you level up a second character of the same class that you have already leveled up, you will not receive bright engrams from levels 20-25. They resume normally after level 25.