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I would advise checking all locations on all characters - inventory, postmaster, and vault. Note, however, that Bungie cannot restore items for any reason: https://www.bungie.net/en/Help/Article/12211
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In your grimoir it Dosnt say you EVER had it, I'm not sure if this is just trying to get one the cheap way but since you aren't asking for it I guess your not, you might've misread it and thought it was you.
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Check your inventory to see if your heavy weapon slots have it. If the slots were full, check your postmaster to see if its sitting in there.