I am so sorry for your bad day. I hope that the shop gets the machine fixed quickly and with little to no charge since it is new. Hopefully you are a member and can download the letters for free. If not, hurry and join. It costs less than buying most design packs to join.

You can not just loose them, you will have to confirm to delete to do so.
Check your other folders, I bet they are in there

However you named them just do a search everywhere, same thing happened to me, d/l letter F and lost the E. Using thumb drive kept shutting down my embroidery machine.