From what I read on here it seems like most people don't get confirmation of their priority upgrade from Sheffield, so I wouldn't worry too much about that. Yeah, I never got an email from VFS... I realize it hasn't been long since I purchased priority but I have emailed their helpline anyways asking for my receipt. 
I agree, it is the worst. Between the huge summer delay (which I didn't anticipate at all), UKVI making an error on my application and sending it back to my husband earlier this month, having to resend it, basically being forced to pay priority as our application wasn't getting anywhere, and now this (among other little things) the process just seems to keep throwing me curveballs. We married on April 17th and I haven't seen my husband since April 23rd. It should not be this difficult. 
Edit: Got my priority receipt late this afternoon. They explained they had to take out the apostrophe in my last name, since that was causing an issue. Will email to Sheffield tonight along with the form.