Yes!!! Be concerned. I went without a period for 3 years and had to have surgery. My lining was really thick, because it keeps building up even though you aren't sloughing it off, so he scraped it all off, and I also had a polyp on my uterus.
Not having a period is NOT normal. I had a dr tell me this way back in 2004, when I am positive I should have been diagnosed with PCOS. There are so many risks involved with not having one...
It can take up to 14 days after the last pill for AF to start, but I would suggest being a little more proactive, even if it means getting on birth control if you aren't trying to get pregnant. Good luck!
Also if it does start on its own, be prepared for it to be VERY heavy and VERY clotty. After I got mine after a no show for 3 years, I almost had to go to the ER because I bled for 17 days, and it was super heavy....so just be prepared!