Yes, it means the person slept well, because the "it" was not a problem. When people are worried or upset about something they may not sleep well. If they don't "lose a wink of sleep over it" it means that whatever the "it" refers to was not serious enough that it prevented them from sleeping at night. So I wouldn't lose a wink of sleep if a friend of mine forgot to return a pencil to me, but I might not sleep well at all if they tell me they can't repay the $1000 I lent them. I hope that is helpful.

To not feel bad about something