Connotation of the word "disappointed"

If it is something you should have done - and you didn't do it - and they tell you that they are disappointed that it didn't happen, then yes, the implication is that they are disappointed in you. "Disappointed" is not a benign word.

Of course, it's a slightly more polite way of putting it than "I am disappointed in you." There are various reasons why someone might choose to be polite here. For instance, they might allow for the possibility that you failing to complete your task was genuinely not your fault, in which case it's appropriate to apologize and explain what happened. Or they might simply not feel like having a confrontation that day. Either way, if that's the word they used to describe a situation you have caused, I'd take it seriously.

However, that goes for a situation in which they had a reasonable expectation that you would do something for them. If they had no reason to expect it, and were merely hoping for it, then there may be no implication of disappointed in you. But, unfortunately, "disappointed" is still not a benign term. The likely intent is still to communicate their displeasure to the person who caused it.