Shares paid out in 1998 but we never got cheque, where to from here?

Probably nothing, unfortunately. Records only need to be kept for six years so all relevant documents are likely to have been destroyed long ago - it's surprising they had the cheque number. If it was issued and presented it's difficult to see what claim you have and against whom any claim would be made. There is no reason why the regulators would be interested since no wrongdoing is apparent.