So, I tried to set up 2 supply lines, 1 from sanctuary to starlight and 1 from sanctuary to oberland, but neither of them have created. Theres no lines on my map telling me that the supply lines exist, but it wont let me send another settler to create a line. Am I missing a step, or is this a bug?
If you approached the settlers in workshop mode, pressed the "supply line" command and selected a settlement you didn't miss a step.
The assigned settler should immediatly get a fresh brahmin for all the stuff and make his way to the assigned settlement. Also, when looking at the map in your pip-boy, press "C" on the keyboard (or L1/LB on PS4/XBOX). This will show you all the established supply lines, so you can verify that you haven't clicked the wrong settlement by accident.