La Chaudanne-Les Moulins is a stop on request. This means that a train will pass through without stopping and you have to inform the train that you want to get on or get off.
There should be a button at the station which you have to press, so that the train driver is informed to stop at the station. Did you press this button?
Just on a side-note: If you are onboard the train and wish to get off at a request stop, you also have to press a button (usually near the doors) or you can tell the train crew. It is not sufficient to just be present on the platform as the train driver might not see you in time.