It should still be held there. I've had that occur with items held for will-call in the past. The explanation I got from my local UPS hub was that the "out for delivery" status will always show, but it's a logical scan based on time, it's not a physical scan if it comes after the will-call confirmation for pickup. If you're worried, you can always call your local UPS hub and confirm that your item was pulled and set aside for you.
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You're only allowed to pick up from the UPS local hub (typically a UPS Customer Center) that has delivery responsibility for the area where you live. That's the location that will receive the final arrival scan before it would normally go on a truck for delivery.
Will-call pickup will basically instruct the people at the hub scanning your package to pull it and set it aside for pickup.