It has gone into the war steed section of your character data. You can't access that part of your character data until after you get your war steed.
Any war steed bells and whistles you earn always go into your war steed data. These bells and whistles will be there waiting for you when you get your war steed. It is a much better implementation that the northern horse functionality where I have horse items stuck in my inventory waiting for the day that I finally get the horse riding skill. At which point all these horses will be converted to skills in the Mount tab.
Unless stated otherwise, all content in this post is My Personal Opinion.