Bought used 2014 A4, second key is missing
 

Few months back I bought a 2014A4, FWD with 250miles on it.

After i signed the paperwork, I was told by dealer that second key is missing which they will mail it to my home within a week. Apparently they were not able to recover second key from previous owner, so after almost 2 months they sent me brand new (un-programmed) key.

While looking into my controls, I notice that the car is programmed with 3 keys. I have one in my possession and other one is un-programmed.

So, there are two programmed key fobs which the previous owner never returned. Is there anything I need to worry? Does the dealer have ability to void other two keys?

three key fobs sounds a bit strange. with my audi i got 2 proper key fobs and then a couple of emergency keys

Since that unprogrammed key won't start your car now, you'll have to take it back to them to get that done. When they do that, bring in all the keys you have for the car. Any keys left out will get written over. So that missing key won't be able to start the car, but should that key ever find your car it will be able to manually unlock the door and they can steal from inside.