RE: No exit wound?
Not having an exit wound with a shotgun isn't really surprising, I usually get slug sized exit holes in the deer I slug down...in fact, I almost count on NOT having one...lead slugs are soft as can be, they're flat nosed, and they aren't really moving that fast (their energy is dictated by mass, not velocity)...there's not much going for them that would make me think they'll exit. Look at it this way, which is easier to drive into a tree, a 8penny nail, or a railroad spike?
I might also ask what bullet you were using...some bullets fragment and "sail" or tumble terribly in the body, so they'll kind of bounce around, or bend off course, if they fragment much, then you're looking for a little chunk of lead somewhere where you'd least expect it.
If you did feel a bump, then that was probably your bullet, but for future reference, there's really no reason a fragged bullet HAS to go where you think it will.