I edited the response. If they have email addresses for you and your partner, check spam, or double check they have the right address.
If you specified on your application forms that you wanted them to continue processing in the case that the sponsorship application was rejected, then they will continue processing. In that case, it would be a failed application, because a sponsorship requires a sponsor.
If you didn't specify the above, then you would not have received the letter requesting more proof -- it would have been a rejection letter, for no sponsor.
FWIW: I did receive the same line on the sponsor side of our ECAS account. But that showed up the morning after I got my SA letter...