The sender should call 800-ASK-USPS or go to https://www.usps.com/postalinspectors/mailthft/mlntrcvd.htm (the Postal Inspection Service's website) and input the information online there . This will help USPS try to recover the CD.
If you think that the wrapping method may have contributed to the loss of the CD, please do give (gentle/constructive) feedback to the sender; you can refer to What are the requirements for posting a CD? if you like.
If you have marked the CD received by mistake, you can also discuss this with the sender, who will have gotten credit when you did that.
Related Links:
I received a CD that was 'lost in the mail'
How do I contact another member?
Getting Around SwapaCD--where IS everything?