Board Thread:Questions and Answers Forum/@comment-173.85.19.138-20160813175537/@comment-25916964-20160814004421

Any rare or higher engram should be appear at the Postmaster if you leave any activity without picking the loot up. (It has never failed for me in the past)

Also (and I could be wrong here), I don't believe the Shades of Oryx drop exotic engrams (possibly changed by Three of Coins but there are some Ultras that aren't affected by it like the Psion Flayers). Are you sure you saw an exotic engram?