Update on my case:

DAL sent the bags to Glasgow airport free of charge to me. I just picked it up from Glasgow airport.

According to LHR ops...the only difference between revenue and non-revs are: For revenue they deliver the bags to home/hotel/office. For non-revs, they deliver the bags to the nearest airport from your home/hotel/office.

The guidance on lost bags on non-rev policies is a bit confusing: It just says you'll have to pick it from the airport baggage desk. It does not say WHICH airport baggage service desk....the airport you arrived at or the airport near your address. I think different airport ops intepret this differently. If you're in LHR, you're in luck....they will send it to any airport in Europe.

Thanks for all the responses.