Yeah - that was the upsetting thing, just having it delivered like nothing was wrong. I am going to hazard a guess that it happened at Heathrow which is why it didn't make the original flight. They should have plenty of time to tell me.
I did get an email telling me it had been delayed - unlike the last time they lost my bag when I waited for an hour at the carousel before discovering it was missing and they had it on their list all along.
I will keep you up-to-date when I hear something. Thanks for commiserating - it has made me feel a little bit better!