WHOA!!!!!
Correct if you said let it go. The OP violated no laws. The FFL shipper did it wrong but the fact is that if his home state of Missouri is not an anti-gun state then they take no interest in these errors.
Going to an FFL in MO to rectify the shipper's error is a fruitless exercise with no benefit to the system, not to the ATF, not to the original seller, not even to the FFL who shipped it. That guy THINKS he did it correctly. His records will indicate that.
And then the gun just becomes legally owned in Missouri. No harm, no foul.
Nobody cares.
Been there, done that, once the gun hits a "good" state it's just "there", legally owned by a law abiding citizen, and the law does NOT require the new owner to rectify the "problem". Because, bottom line, there is no actual problem.
Think it through in a totally different way - the Federal law requires the FFL shipper to send the gun to an FFL in another state. The gun falls off the UPS truck. OP finds it and it has no labels (let's make that assumption because otherwise you know we would all contact the shipping FFL). What's he gonna do? Nothing to be done. It goes into his safe.
Here's a different scenario.
You own a pistol in a state that requires a license. The gun was given to you and you hid it away. You move from "bad" state to "good" state and the gun is in your moving van and then in your house. VOILA! A perfectly legal pistol.
Same thing here. Done and done. Don't make a mountain out of this molehill. No laws broken, no harm, no foul.