How to make SASS/SCSS Module works with Drupal 7?
You didn't mention whether you installed the PHamlP library or not and from your question description, it sounds like that is the problem -- it needs this to actually render your .sass files. From the readme:

1. Create a folder inside the SASS module (sites/all/modules/sass) and name it phamlp
2. Download PHamlP_3.2.zip from http://code.google.com/p/phamlp/downloads/list
3. Extract its contents to the phamlp folder you just created
4. Once you have installed/enabled the module you can visit admin/settings/sass where you can
configure various settings surrounding the behavior of this module.