This was in fact seen in part during the show. It's where the girls are talking about how they could help too and knew how to fight back thanks to Carol. That's when they set the baby carrage down and the camera cuts away to the next scene. You didn't know until the end when the girls shoot the bad women trying to kill Tyrese they had both gone back to get weapons. At the end when you see the baby carrage you know what had happened and the girls didn't think about protecting the baby first, or we assume.TravisR said:^ I think the kids (the creepy girl, etc.) had the baby. This is a big assumption but I figured that they set the carrier down on the ground momentarily and a walker came up & ate the baby. Rather than show that onscreen, they wanted to spare the audience seeing a baby die and save the reveal for when Rick and Carl found the carrier at the end. Either way, I'm sure it'll be clarified within an episode or two in February.
The TV show is frequently different from the comic book but in the comic,Judith is shot and killed along with Lori when The Governor attacks the prison.