Other mistake: When Leonardo DiCaprio and Jonah Hill are on the sinking yacht with their wives, DiCaprio is holding his wife but you don't see Hill's. Nor do you see her on the Red Cross boat.
Other mistake: Story inconsistency, at the start of the film in the Ferrari scene, Jordan says he made 49 million aged 26 as the head of his own brokerage firm. The newspaper article by Forbes states Jordan filed for personal bankruptcy aged 26 and that Jordan is currently 29 and that Stratton Oakmont is 2 years old, making Jordan at least 27 in the scenes when they are still operating from the garage. (00:01:30 - 00:40:00)
Chosen answer: As seen from Donne's reaction when the FBI storm the building shortly after, It should be assumed that Donnie told the FBI himself, and kept the note as evidence. One of the reasons for this could be that Donnie must have felt betrayed or something similar.
Dra9onBorn117