The system is designed to help you. It is solely the responsibility of the last delivering carrier, e.g. UA to locate and deliver the bag to you and, if the bag is lost, to compensate you for the fair market value of your loss (with a cap of approximately $1,650). Note that the bag is considered lost after 20 days. Also note that UA will generally provide a flat compensation of $500 in situations where you cannot document what is lost. Thus, most claims are relatively easily handled.
As others note, you have apparently made your claim with UA, have a WorldTracer number and can see whether the bag has been located and if it has, where it is. As a practical matter, if you call ET, someone will look at the same information as you can see yourself on WorldTracer.
Also be certain to make a claim with your insurer as many have strict time limits for claims.