MaryK4 is correct that trustee-to-trustee transfers of IRAs are not reportable on either Form 1099-R or Form 5498. However, a 401(k) plan is indeed required to issue a Form 1099-R for a rollover from the 401(k) to an IRA and the IRA is required to report that rollover on Form 5498.
You apparently reported the rollovers correctly on you tax return. You should not be too concerned that you do not have your copies of the missing forms that reported rollovers from 401(k)s. The plan and the IRA custodian are required to file these forms with the IRS, so the IRS should already have these copies. However, having your own copies would make it easier to respond to the IRS if they ever do question anything about these rollovers.
The only thing that I might be concerned about is making sure that I documentation supporting the rollover of any after-tax amounts from a 401(k) to an IRA. These after-tax amounts must be reported as an adjustment to Form 8606 line 2 the first time you are required to file Part I of that form after making the rollover.
