When I did my walkthrough the shed which was behind the house was missing. The seller said that since it wasn't specifically mentioned in the P&S he was within his rights to take it. I say that he would have needed to have it excluded in the contract to take it.

Probably considered personal property---seller has right to remove.

This could be considered an errors and ommision claim for your agent assuming he or she wrote up the purchase contract and did not mention it. I would contact a lawyer for actual advice.

The same thing ALMOST happened to me a few years ago.  Fortunately, the seller mentioned he was "taking his shed with him" to the realtor.  We got the shed or we would have walked.  Was the shed listed in the description on the MLS or is it any of the pictures?  If the house is listed with "outbuildings" then you should be keeping it, in my opinion.  If this had not happened to me I would be more surprised, it is a building and it does contribute to the value of the property.  Just because it can be moved does not mean it should be. 

Are the sellers going to repair the landscaping where the shed sat?  If they are not leaving the property in the same condition as when you originally viewed it then they could be considered in violation of contract.

The same happened to me except I didn't want the shed and based my decision to buy the house based on what I wanted in a home, not a shed. How much is a shed worth compared to the value of the home? Home Depot sell some pretty good ones for cheap. You get a warranty too.