I haven't heard of UPS losing documents - I don't think it happens often at all.
There's probably just been a slight delay with the delivery to Sheffield (since it's the holiday season, that could be the case). Either that, or it has already been delivered but the tracking hasn't updated yet.
Question though: how did you hand over the package to them on the 3rd January, when the tracking shows that it was shipped on the evening of the 2nd and had moved through 4 states by the morning of the 3rd? Do you definitely have the correct tracking number?
I sincerely doubt your package will have been lost forever. I've been on the forum 11 years, and I've never heard of that happening before, especially not with UPS. It's probably just going to be a case of either waiting for it to be delivered, or getting UPS to track it down for you.