This is the one situation where WN's lack of interline agreements works to your advantage. Unless the bag has been stolen or destroyed, it is somewhere in the WN system and will show up in due course.

If the bag is lost, you will be reimbursed for the fair market value (not replacement cost) up to a limit. Expensive items will require receipts.

Double check that your travel insurance does not require notice in a short period of time. If so, file the notice even though it is not yet time for a claim.