Hi,
I wrote this before I saw Khoff's post, so here's yet another point of view.
And then one evening, after I had begged her to buy me a transistor radio, after she refused and I had sulked in silence for an hour,she said, "Why do you think you are missing something you never had?"
Here's the sequence of actions.
First, I had begged Then she refused Then I had sulked Then she said
The grammar does not really tell us this sequence for sure, we get it from thinking about the meaning behind the sentence. For example, if we talk about begging and refusing, usually the refusing happens after the begging. And the same applies to refusing, often followed by sulking.
Often, when we speak about two different events, we speak in chronological order. I came home and cooked dinner. But how about yesterday I won a million dollars in the lottery and I cooked dinner. Maybe I am telling about the most important thing first, although it happened second.
In your paragraph, the Past Perfect does not really tell you much except that things came before she said. You could replace the PP with just simple Past Tense.
I hope this makes things clear. If not, please write again, OK?
Best wishes, Clive