You can use this website to check all the transactions and stellar accounts: https://stellarchain.io
Enter your stellar address in the stellarchain search box and you will be able to see the list of the successful transactions in the Stellar Network associated with your account.
If you can find the unreceived transaction in this list, then Lobstr wallet submitted transaction as expected.
in this case, you need to contact your exchange service and provide them with the link to the stellarchain and transaction memo info.
If your destination wallet requires memo and transaction was submitted from LOBSTR already, but you forgot to add memo - your money will not be returned to the LOBSTR wallet automatically. Destination wallet will receive your money, but you need to let them know, that you forgot to add memo, so they could handle that.
Also, please pay attention, that sometimes it can take time to process your transaction on exchange service side.