Mortgage Loan Question

Mutual Of Omaha financed a loan for the house my fiancée and I moved into. The loan servicer is Penny Mac. We then got a letter from Freddie Mac saying that they bought our loan, but continue making payments to Penny Mac. (fine whatever)

Mutual of Omaha then emailed that they did an oopsie and forgot to get all the paperwork they needed. I saw their email and laughed. ¯\_(ツ)_/¯ They don't own our loan anymore. They were awful. I requested during the process for a different agent to service our loan and got scolded like I was a child. I'm happy to see them get fined for not doing their jobs right.

We just got an email saying their legal department is about ready to send us a demand letter for the mortgage to be paid in full if we don't sign the oopsie. I'm just wondering what legal grounds they have. They don't own the loan, Freddie Mac does. Why would we pay the amount of the "loan in full" to a company that is no longer the owner of the loan? If Freddie Mac sends me a letter, I feel like I would jump. If Penny Mac sent me a letter I feel like I would jump. As far as I'm concerned Mutual of Omaha can send as many "demand" letters as they want, but they themselves should know that they have no legal standing to receive payment for a loan that they no longer own. Freddie Mac can foreclose on us, I don't see how Mutual of Omaha can.

Am I wrong? Do I have to care about them? I'd like to send them an email back with a middle finger emoji. lol Maybe every lawyer is rolling their eyes and prepared to fill me in on how stupid I am. In which case, please tell me I'm stupid! I'd like to keep my house. :-D