Had a similar issue as our package was supposed to be delivered by USPS Express Mail on the day after Thanksgiving, when the Consulate was closed. We tried to get USPS to redeliver it on Monday but they said only the receipient could request that, we also tried contacting Worldbridge by email and phone to see if there was anything they could do - there wasn't.
On the bright side, if it wasn't delivered (and they left a notice) it seems like someone at the Consulate DOES go and pick up mail that they've been notified of, as our status updated to 'Delivered' around 5pm that Monday and we got an email confirming receipt of it from UKBA a day or so later. This must happen fairly regularly, after all - makes sense that they would have a system in place for dealing with missed deliveries.