As explained in our POWDERPOST BEETLE CONTROL article, maturing pupa will exit the wood where they fed as larva. Exit holes will be tiny and many times you'll have several appear at the same time. Adults are looking to mate and lay eggs and if they're not able to find similar wood compared to what they fed on, many times they'll just die off and their effort will have been in vain. So to answer your question "where do they go"; the answer is generally close to where they just were active.

If it were my piece and I was wanting to still keep it, I would treat it with the CYKICK AEROSOL to insure there isn't anything still active. Since this is such a small piece the treatment would most likely be able to penetrate enough to get any activity that might still be active in the wood. Though freezing could kill larva, it won't kill the eggs and for that you need a residual product like the Baygon to be active so when the eggs hatch they will succumb to the material.

How concerned do I need to be about these bugs which the funiture store says is the powderpost beetle?

I had it in my house for about a week.  If there are going to  be issues I need to address them now I believe.

Thank you in advance.

As explained in our POWDERPOST BEETLE CONTROL article, powderpost beetles hatching from pupae cases will eat their way out of the wood where they have been living. This "eating out" process generates sawdust. Once they emerge, the adults will fly off looking for similar wood on which to find a mate and reproduce. In most cases, the wood needed will be wood that's the same as the original wood. You don't mention the type of wood the cabinet was made from so I'm not sure if there is any need to be concerned.

Additionally, you don't mention if you saw live beetles or not. Chances are high there were several that emerged when the cabinet was in transit. If it was "wrapped" as you described, I suspect most of the newly emerging beetles would have either died, gotten out of the wrapping and into the local environment or stayed close to the cabinet on which they emerged. With this in mind, I don't think there is much of  reason for you to be concerned at this time.

Lastly, there are other pests which can generate "sawdust" from wood. TERMITES (drywood) and CARPENTER ANTS just to name two; if you didn't see any live insects it is quite hard for me to say with any certainty what created the sawdust you found when you opened the wrapping.

So in summary, let me know if you did in fact see anything other than the sawdust in your log home. If not, I would say there is little reason for alarm. But if you did note several insects migrating from the cabinet when you first opened it, I would say to give us call on our toll free so we can further advise. That number is 1.800.877.7290.