It's unreasonable for a major airport to maintain the level of bag-check which is possible at a tiny outstation. It's certainly not an air carrier's responsibility to maintain exit security.

If Mr. Madrid doesn't have his bag yet, one would hope that either BA and / or Mr. Madrid have called the coppers, tha Madrid has his bag or its enroute and that OP is enjoying the custom of HMG's three hots and a cot !

Seriously now, I could care less what OP's schedule is, nobody expects OP to schlep the bag back to LHR, but I've heard that there are funny little people called couriers who do such things for you.