it may take quite a few months until you can conceive. It may also take months for your peroid to return. I have had all this happen with me. I'm sure all is fine... sometimes it takes awhile after you go off the pill
also u may not have enough baby hormone in u system for urine test to pick up yet, id wait anather week and test again or if hasnt come in anather few weeks to ask doc for blood test.
Your body has to adjust to not relying on hormonal birth control and instead rely on itself to regulate your hormones. It will take time.