I wouldn't worry about that. From early access we don't know exactly what the artefact is or why it's important, but the game does go to many lengths to make sure that we don't lose it.
It's interesting that the artefact jumped to you when you removed SH from your party (I've not done that yet), which I think used to happen in EA until a new approach that would have it jump to our inventory only if/when needed was implemented. It's possible that you've encountered either a design rethink or a bug, but if the latter I very much doubt it'll be a game-breaking one.
