I've played through this chapter before never having an issue. Here's what happened. When Delphine told me to lose the weapons / apparel before going to the embassy, I dropped them as I had before. I then did the run through the embassy and met Delphine back at the inn in Riverwood.

The chest containing my stuff only had some of my stuff. All my magic amulets, rings, dragon priest masks and weapons were missing. Yep, not one single weapon or magic item either created by me or found in the game. was in the chest.

Is this new? I do have some mods but no new mods since I did this chapter successfully in the past. Ideas?

You must not drop the items that are in your inventory, you must give them to Delphine. Actually, she takes them once you have clicked on the line of dialogue where you tell her that you are ready (or something like that).

your not supposed to drop them on the ground, as you go through the quest she will take your gear out of your inventory and put it in her chest..

check back where the Wagon was and see if it is still on the ground

Got it. Major brain furt on my part.