Spent ages completing this bounty and when I finally handed the last part to Xur the weapon popped at the side but when I went to my inventory its not there. I had empty slots in all and I've checked my vault also not there.
Very annoying and a waste of time spent on that bounty, (this game and DLC is starting to get very frustrating) would really like a fix .
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To clarify, did you mean the Gunsmith? While Xur is involved with the SGA exotic bounty, you only need to buy a special ammo synthesis from him if memory serves, the final step involves talking to the Gunsmith.