Encountered same issue with Magic Initiate: Warlock. As a level 3 rogue/thief when clicking the "accept" button on the level up screen nothing would happen with the Magic Initiate: Warlock feat selected, after having selected cantrips and spells.
I did some testing and found that there was no issue selecting this feat as a level 3 rogue/arcane trickster. Seems like the game isn't able to add spell slots to a character that doesn't already have any spell slots via a feat.