Another "oops" moment
Day 36
If you're on a platform hundreds of meters up in the air, don't make a prim and then turn on the "Phantom" and "Physical" checkboxes just to see what will happen.
What will happen is: as soon as you don't have your phantom physical prim selected for editing anymore, the "Physical" setting will cause it to drop straight down, and the "Phantom" setting will let it go right through the floor. And then all the way down to the ground, passing through every platform and building in the way. And then, when it hits the ground, it'll bounce and roll away. And then it may try to go into a zone where somebody's put up a "no entry" barrier, and bounce away from that.
But of course since you were hundreds of meters up and it caught you by surprise, by the time you get down to the ground, it's had a huge head start and you have no idea where it's gone. And the next thing you know, you're dredging the river looking for your prim. Which is where I finally found mine.