Getting my federal tax return this year was a comedy of errors with the USPS losing the first one (I assume at this point), Nothing happening with my second attempt (Which I JUST got back after sending it in mid April, returned because my wife and I forgot to sign it after printing it).
The third time we filed electronically right before the due date and successfully got our refund a few weeks later, but only because I discovered you can actually fill out an online form and file for free on the IRS website. I consider Turbotax and the like to be rip-offs and refuse to use them.
To actually answer your question, yes, you should be concerned. You have no way of knowing for sure if your form was lost in the mail and you'll never get an answer from the IRS because they don't know either. If you try filing again though they might consider you late and assess a penalty.