If a paper is accepted but not included in the conference proceedings, does organization (IEEE) retain the copyright of the paper?
Restating your conditions,


Copyright form not signed
Conference fee not paid
Paper not in proceedings


This implies that your paper is not published in this conference. Hence by no means can IEEE hold copyright for your manuscript with regard to this conference.

For a conference that requires fees, the respective paper it's published when the sum is paid (although there are exceptions). IEEE conferences seldom require you to sign the copyright form before the payment. They are usually done together. Once, I've noticed that some participants signed the copyright form on the day of the conference since they missed out on attaching the form along with the fee (which was successfully paid).