No reason to keep your agent in the dark. I'd tell them what happened and ask them what happened. As Shanna stated, there may be an excuse, but not following up shouldn't be one of them. If I don't get a response from an agent, I'm on the phone and sending email to find out why I haven't heard.
Is there ANY possibility your Realtor hasn't received the paperwork? (i.e. junk folder in email, someone at office took off fax, etc). However, since the other realty office says they've called her and haven't heard from her, maybe an emergency came up? Still no excuse - just thinking of other reasons than that she is incompetent. However, if she is incompetent, you need to contact her and if you can't get anything resolved, call her Broker and ask for a new agent.