No baggage arriving ALWAYS sucks even if it is replaceable clothing mostly. Still a huge pain. Been there more often than I care to remember. Once they told us the same thing they told you...that our baggage was registered as having been loaded. It turned out that it had indeed been loaded...on the wrong flight. It took a week to get back to us because...and you will laugh at this...it had been sent to Australia instead of to Spain. Crazy.
Good luck getting it back!