In short: Increased sodium intake may or may not result in water retention, but it does result in increased urination.
Let's say you are consuming 5 grams of salt per day during a certain period. Then, one day you increase salt intake to 10 grams per day. This may or may not result in water retention, which will develop fully within few days and become stable at a certain level, so on the end you will have, for example, 2 liters more water in your body than before.
Another thing is, that your body wants to maintain blood sodium at a certain level, so your kidneys will excrete the extra sodium. Since the kidneys can excrete sodium only together with a certain amount of water, you will also excrete more water (urine). Also, with increased salt intake you probably drink more water, which you will again need to excrete (urinate more).
In conclusion: After an increase of salt intake, water retention will occur as a single event developing to its highest level within few days and than stabilize. On the other hand, your kidneys will continuously excrete the extra sodium (accompanied by water), so you will urinate more during the entire period of your increased salt intake. This is how you can have water retention and increased urination at the same time.
About thirst. With increased salt intake, you usually become more thirsty, but some people have weak sense of thirst, so you might not be able to make reliable conclusions from thirst alone.