I say create a note using Drafts it prompts me for what I want it to say and to open Drafts! but the note is not there.
If you get that “Drafts will continue the request” page in Siri, something went wrong and Draft never created the note. You should get a confirmation page with a preview of the draft.
Maybe a temporary problem. Try a reboot, if that doesn’t help, open a support request with details about your phone, OS/app version at email@example.com.