The Lightroom catalog is really just a data base with two main file components; the actual catalog contained in Lightroom 5 Catalog.lrcat and the previews contained in Lightroom 5 Catalog Previews.lrdata. The catalog consists of entries, or rows, for each photo you import. The key to that row is the name assigned to the photo during import.This could be the name of the file as recorded on the memory card or something you assigned during the import process. Other items recording in the row for any given photo are thinks like keywords, metadata and development-type instructions as well as other attributes that Lightroom keeps track of. But two things that are key to your particular problem are the reference (pointer) to where the photo resides physically and another pointer into the .lrdata file where the previews are stored. For now then, the three most critical pieces of information are the file name, the file location and the location of the preview.
When you start the Import process, you tell Lightroom, using the panel on the left side of the screen, where the photos are coming from. Next, using the center portion of the screen, you select how you want the import to be handled. Finally, using the right hand side of the screen, you select the options Lightroom is to use during the import such as whether or not to rename the photos, how to handle suspected duplicates and what keywords/metadata to add. Depending upon the import function selected, you can also tell Lightroom where to store your imported photos.
In your case, you are importing photos from memory cards so the choices you have available will be to Copy the files from your memory card to some location on your HD, Copy files from you memory card to some location on your HD after converting the photos from the CR2 format to the DNG format or to just ADD the photos to your catalog which essentially leaves the photos where they were found. During the import, Lightroom will perform the following basic steps during import:
1) Read the file from the memory card,
2) Rename the file if requested,
3) Create a new row in the database (.lrcat file) using the file name (either original or rename) as a key,
4) Update the row with the location of the file (either using the destination folder name or, if add was selected as the import action, the location where the file was found,
5) If requested, convert the RAW file to DNG,
6) Save the file to the destination (Copy/Copy as DNG only),
7) Build preview and store it in the .lrdata file,
8) Update the row with the location of the preview; and finally
9) Save the row to the .lrcat file.
This is a very simplified version and there is a lot more going on here and the order of things may be different but, essentially, this is what has to happen in order to get from a collection of photos on a memory card to what you see when you start Lightroom and view your catalog. Since Lightroom really can't 'see' your photo, it can only make and educated guess based on file attributes as to whether or not it is a suspected duplicate. Most likely, Lightroom is using a combination of file attributes and EXIF to make the determination so it may not always be right. My experience is that Lightroom is more likely to miss a duplicate file rather than to mark something as a duplicate when it is not.
When the import of the .CR2 files was done, Lightroom recorded a location for them. The exclamation badge is Lightroom's way of indicating that the location recorded for a photo in the catalog is currently not available. Not that it doesn't exist but can't be found at this time. The two most common reasons for this is either a file was moved using the OS or the storage medium it was stored on is not currently available. This could be an externally attached USB HD that is not currently plugged in, a network-attach HD (NAS device) that is offline or even a memory card. If you were to select ADD as the import function, you don't get to perform a rename and the files will not be copied. Lightroom will store the device drive letter/name as well as any folder information in the catalog as the location of that file.
As suggested, use the OS (is this on a Mac or PC??) and search for one of the missing photos. If, after searching all of your internal drives, you still can't locate it, check your memory cards. Another thing to check is your Folders panel (left side of Library screen). Select a photo and look at the panel. If you context click a photo, you can select the Go to Folder In Library item (if available). Once you have the folder name, you can context click on the folder. There are two options you will want to use; show subfolders and show parent folder. Keep moving up the tree, displaying each parent folder until you get to the top. At that point, look to the left of the name (a drive letter in Windows or a drive name on the Mac). There should be a small green rectangle displayed. If not, it means the drive is offline (this could be a remote HD or a memory card). To enable that device, you have to plug it in. A Mac is a bit smarter about this than a PC since the Mac uses the name of the device. A PC will use a drive letter but you may not always get the same drive letter the next time you plug in your reader. I thought I remember reading that you received a 'card full' message at one point so there is a good chance the photos went to a memory card by mistake.
Once you locate the missing photos, use the Folders panel in Lightroom to COPY photos from the memory card to a location of your choosing on your HD. Doing it via Lightroom will keep the catalog updated. Without locating the missing photos, this is going to be difficult to resolve.