"Lo siento, no lo comprendí."
Translation:I'm sorry, I didn't understand it.
There seems to be a misconception that the "didn't" and "did not" cannot be used interchangeably. They can be. Contractions are usually heard in spoken English, but they are not ever used in formal English.
"I'm sorry, I didn't understand you" accepted 9/13/18.
(Lo = it, him, usted)