At the start of Day 4, Tex refers to an egg he found in the wall of his apartment- presumably, the same egg Margaret Leonard's video says is now in the hands of 'the one who prays' (or preys, I guess).

So am I supposed to have found this egg, or seen a video in which Tex learns he did have it but then lost it again? Because neither's happened in my game.

You are way too early in the game but you will and it is kinda dumb where it is. Just keep playing.

This is not what BlackMageJ meant. I believe he referred to a (for a lack of a better term) plot hole, where Tex talks about the Tesla egg in his wall, but this happens out of the blue - there's no prior explanation as to how Tex realized that the egg was in his wall. He probably linked somehow the egg with the holes in his walls, but it was never explained.

I think this is an oversight on the developer's side.

The two screenshots that I attached shows when this happens.