That's the shape the bees start building honeycomb in . It's sort of a roundish or football shape. When you check on them in the hive a week or so from now, you'll see the same sort of shape forming on the wax foundations.
If the queen was not in the cage, then they've released her. If you asked (or paid) to have the queen marked, she should have a blue dot on her back. Again, next time you check your hive, you can look for her, she'll probably be on one of the frames toward the center of the hive box.
Hope that helps!