401k lost

I rolled over my 401k into a Roth IRA

the 401k issued a rollover check that was deposited to the new RothIRA. It was return on their system the next day.

I contacted the 401k ( issuer) and they maintain the check was cashed by the receiving company. The money has disappeared into thin air between these two companies.. it is not reflected in my new or old account.  How do I inform the IRS I never received or was able to transfer any money, will I  still be liable for a penalty on money I  never received.