I'd be very upset if my son's blanket was taken. He's had it since he was an infant. He's now 6, and still insists on sleeping with it every night. Whenever he stays the night at Grandma's, Nana's, or whenever we go on any overnight vacation, it's number 1 on his packing list.
I'm a little surprised that they didn't catch it because we have taken my son's blanket with us to WDW several times, and not only do they not take it with the dirty bed sheets, they actually fold it and put it on his bed with his stuffed animals all lined up. And, it's not like we separate it, and put it somewhere unique. It's still in the bed from the night before. The only thing I guess is that our son's blanket it blue, and so it's easily distinguishable from the white sheets???
Either way, I'd be upset with the lack of follow through on their part. We had a similar experience in the past when my DH left his wedding ring in the hotel room safe accidentally. We called the same day, and they did not have any record of it in lost and found. Thankfully, we had property insurance that covered it if it was lost or stolen, so in the end it was not a huge deal. But, honestly, I'd be more upset if it was my son's blankie than my DH's wedding ring because it means so much to him and something like a blankie is so intangible. I really hope you get it resolved