Nice question. It troubles me too.
ref : Donnie Darko Explained
CHAPTER : THE ARTIFACT AND THE LIVING
When a Tangent Universe occurs, those living nearest to the Vortex
will find themselves at the epicenter of a dangerous new world.
Artifacts provide the first sign that a Tangent Universe has occurred.
If an Artifact occurs, the Living will retrieve it with great interest
and curiosity. Artifacts are formed from metal, such as an Arrowhead
from an ancient Mayan civilization, or a Metal Sword from Medieval
Europe. Artifacts returned to the Primary Universe are often linked in
religious iconography, as their appearance on Earth seems to defy
logical explanation. Divine Intervention is deemed to be the only
logical conclusion for the appearance of the artifact.
The whole Tangent Universe thing is happening because of a problem that has occurred with the 4th dimension. The details of it we are never told. It is the purpose of the Living Receiver to send the artifact to the Primary Universe to restore balance. Donnie does not send the artifact which landed in his home back to the Primary Universe. That stays in the Tangent Universe. He sends the duplicate copy from the Tangent Universe back to the Primary Universe.
So where does the artifact come from to the Tangent Universe? Well that is the text mentioned in Roberta Sparrow's text - Divine Intervention. There is no logical explanation. A copy of the artifact will exist seemingly from nowhere. Roberta doesn't understand how either. It is caused by the tear in the fabric of 4th dimension.
As far as the Primary Universe is concerned, they will always continue to wonder where that Jet Engine came from. They will get no answer. But for the Primary Universe, there is no Receiver or Artifact. Spacetime has corrected itself and life goes on.