This may not be what you want to hear, but here goes:
I have tried fairy wrasses on three different ocasions. The first 2 went badly: they simply vanished after a day or so. No trace.
3 weeks ago I decided to purchase anothe rone and monitor closely, find it's night hiding spot and make sure he was alive.
When out and swimming, I made sure to feed a little extra to avoid having the other fish pick on him.
All is well with him so far.
So, in your case, he may have gone to the same location my first went - but don't give up if you like the fish.