I sent my visa in on Monday, it arrived in Sheffield yesterday. I got a confirmation email from FedEx but not from the Visa office that it has been recieved. Should I be worried?
No - there's no reason to worry. As long as you know from FedEx that it was delivered, it will be processed.
It may take UKBA a week or two to send you an email confirmation that they have the application - and in some cases, they don't send an email at all.
Also, I was under some misinformation about the timeline for getting your visa. I did not make my visa priority initially but just applied for priority. I applied online and emailed the office with my reciept and reference. Does anyone know how it typically works if you apply late? And if that delays your application?
It won't make much difference in relation to not buying priority at all, because it will mean that the application will be processed in 3-4 weeks instead of 2-3 months.
However, they will now need to search for your application and dig it out of the pile of non-priority applications that they have received in order to assign it to the priority processing pile. As your application only arrived yesterday, chances are they won't have logged it into the system yet, so you may need to wait for it to logged in as non-priority first, before they can find it to put it in the priority pile (which could take a couple of extra days).
You've done everything you can now though - the only thing that might have potentially made it a few days faster is if you had purchased the priority service before mailing the application, but that's it.