" If I purchased NLY and it settled 12/3/12 why did I not receive the dividend on the 24th? "
Well for one thing, you can`t receive the dividend before it goes ex-dividend. Ex-div was on 12-26-12. Nobody has received the last dividend yet. Per NLY website the dividend is payable on Jan 29th. One more point. Forget settlement dates as for as when you get the dividend. As long as you BUY or OWN before ex-dividend date you will receive the dividend.
The common stock is mostly what we discuss here. The exdividend date was 12/26 and it pays out on 1/26/2013. The preferred stocks NLY_A, C, and D all had ex date 11/29 and paid out on 12/31. Do you have common or preferred stock?