What would happen if the zygote did not implant in the uterus?

Early miscarriage: Period may be a few days late, but nothing exceptional would happen otherwise and no way of ever knowing as period can be late due to many factors.

Nothing: Pregnancy is defined by implantation not fertilization. If implantation does not occur after fertilization, the zygote would pass with the menstrual blood. This would not be considered a miscarriage because implantation never occurred.

Passes out: A non-implanted zygote, like the millions of fertilized eggs in normal physiology that do not implant, will either degenerate or pass out and cease to exist. The uterus will remain normal and ready to accept another fertilized egg when the opportunity presents itself.