This has happened twice to me now and is very frustrating but when transferring items out of my characters inventory to the vault they seem to completely vanish, I've checked all characters and my vault and they have not shown up anywhere. And with this one I am particularly annoyed as I had a nice roll on my claws of the wolf.
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Items can't go missing when using the companion or third party Apps. What can happen is that the transfer fails. In that case, the Weapon either gets sent back to the character or stays in the Vault which is used to transfer things between characters. I'd recommend to check your characters and the Vault [b]in game[/b], [b]not[/b] through any App as these can display wrong things (especially when a transfer fails).