As already mentioned, historically BDU would have issued new location orders.
However, in the absence of these within the game to keep within my assessment of what a RL kaleun would do if out of contact with BDU is conduct a search pattern/patrol of an adjacent grid to my assigned one.
I base this on the assumption that RL U-boats did not needlessly waste fuel traveling to a 'hotspot' when they may need the extra fuel in chase of a convoy/contact found within their original locale.
Not to mention that these 'hotspots' were probably the best patrolled/guarded by ASW forces. RL crews were not as 'gun ho' as most of us.