Indeed if you had missed the BA flight it is likely you would be on your own and having to buy a new ticket. Would insurance have paid for it? Depends on terms of your insurance.

As for the bags. Not really BA's issue, they were tagged to GRU and correctly delivered there for you to collect which you chose not to do (for understandable reasons).

I think you should check that your details in World Tracer are correct and then leave matters to take their course. I'm sure the bags will reappear at some point but as usual in these situations don't waste your time calling BA who are not really in control.