DL did nothing wrong. VS (note it's VS not VA that you flew or were supposed to) correctly pulled the bag off the plane when you were correctly denied boarding to LHR due to lack of valid transit documents.

Sorry, but neither DL nor VS are responsible for the bag delay. Since proper travel documentation is the responsibility of the passenger, you are the one responsible. It was pulled solely because of the fact you couldn't fly to LHR. While there may be a delay in getting it back to you, any such delay would be caused by the fact they had to do something out of ordinary because of your lack of documentation.

The fact that they were willing to send it onwards once located doesn't change anything. They'll do that even when not at fault, they just don't pay for the delay costs in that case.

Sorry, but this wouldn't have occurred if you had booked the non-stop to begin with.