As Mary held onto her AGRA drive, and AJ hid his inside the bust, this leaves only two more unaccounted for. It isn't confirmed what happened to them, but we can possibly make assumptions:
- They were hidden/destroyed
AJ goes to great lengths to conceal his drive to ensure it doesn't end up in the wrong hands. After the hostage situation went south, the other two may have gone to the same lengths, hiding the drives or destroying them entirely, believing that they weren't going to survive the situation.
The other two members may not have had the opportunity to destroy/hide their own drives, but they still could have been damaged or destroyed in the firefight, or could have been hidden in the lining of their clothes so that the terrorists never found the other two drives.
- They couldn't decrypt them
AGRA were an elite squad, probably up to date not only with field ops but also cyber security. They worked frequently for the British government, as well as other high profile clients, so they would have been thoroughly vetted to ensure that any data they had (such as previous missions) was well protected. This would mean the Georgians may not have been able to access the information even if they were able to capture the other two drives.
Even though Sherlock was able to decrypt the drive he got from the Thatcher bust, he had an extra 6 years of technology advancements and his own genius and connections to do it with. Seeing as the terrorists got bored with their prisoners and threw AJ in a prison, they may have also got bored with trying to decrypt the drive and simply stopped trying to access it.
- They had no idea what they were
The drives were, after all, pretty rudimentary USB sticks with a few initials scrawled on them. Considering that the Georgian's task was to just kill them to prevent them rescuing the hostages, they may not have realized how significant they were. The only people who knew definitively what was on them were the AGRA members, and as AJ said to Mary; they weren't tortured for information, just for the fun of it.
It's also possible that the Mole never told the terrorists that they were a freelance hit squad, she may have just said that they were British agents, in which case they would have no reason to believe that they would be carrying around sensitive information on their person, so never bothered to thoroughly search their possessions or dig into the drives, thinking that any data they would contain would be worthless to them.
- They were ordered to destroy any that they found
Considering that the Mole was sending them into the embassy specifically to get them killed and cover up all of the missions that she sent them on for other people, she may have just told the Georgians to kill the four of them and destroy anything they found on them in order to ensure nothing could be traced back to her.
Considering that she basically warned the terrorists for free exactly when they would be attacked, allowing them to set the trap for the AGRA members to walk into, getting them to destroy the drives would be an incredibly small payment.
I think it's safe to assume that AJ knew the AGRA files had not been retrieved by his captors, or at least suspected that fact, because he was still in jail. I'm guessing that he would have assumed had anyone managed to access the files he would have been ransomed or killed, so at least suspected he would find his original drive in the bust he had hidden it in: he just had to locate the correct bust.
As for using it to find Mary: he had nowhere else to start. Whether she knew he was coming or not, it was the only clue he had to find her. The irony is, had he found the drive, he probably wouldn't have been able to use it to locate her, as she wasn't using one of her previous aliases by then: she had built an entirely new one. He managed to eventually find her by tracking Sherlock once he knew that they knew each other.
Of course all of this answer is speculation, but it could possibly explain something that the writers appear to have overlooked.
