you should have agreed with them to have it taxed so you can ride it away. After all its illegal to ride on the road without paying the tax (says the guy who just got a fine thru the post for not having had tax on his bike for the last 3 months

)
Call them tomorrow, tell them to get it taxed so you can come pick it up and ride it away.
In reality tho, you can of course ride it home without tax, wait for the relevant paperwork to come thru and then go tax it yourself.