Like KTW said, might be the wrong replacement bulb.
He's my many Xmas tree light repair experience:
1) Make sure the socket is the right one for your string. Some sockets are deeper or wider, or strangely shaped, and
universal replacements don't always fit. Try taking the bulb out of the original socket, and put the new replacement bulb in the old, original socket to ensure it fits.
2) The socket itself could be bad. The string is one of the good ones that has a traveler wire, so the rest of the string lights when one bulb burns-out. But the issue is most likely a bad connection to the bulb at the socket itself. The wire might have disconnected from the metal tab connection within the socket, or the tab may have fallen out. Examine the socket closely, and check continuity to the insertion tabs within it.
3) With all the twisting light strings go through, a wire may have broken, or disconnected from the socket connection metal tab, even though the insulation covers the break. Another good reason to check continuity to and from the socket.
4) Heat of the bulb may have warped the plastic socket, keeping the metal tabs within it from actually touching the bulb leads.
Good luck troubleshooting this.
