This is a good question.
There is no mention in the rules what to do in this case except for the Barber-Surgeons, when you forget to remove your meeple from a bathhouse once it is surrounded by eight tiles.
If you forget to score a feature and remove the meeple(s) placed on it, this can be because:
* You closed multiple features and just forgot to score one of them.
* Another player closed your feature and nobody noticed.
Many people, including myself forget frequently to score the 1-point fairy bonus at the beginning of one's turn.
If you are playing with most of the expansions, you can score forgotten features any time as there may be no side effects. This is not the case when playing with any of the following:
* Castles (Exp. 8 - Bridges, Castles & Bazaars): as features not scored in due time may alter the scoring of castles.
* Messages (Mini #2 - The Messages): as scored points may alter the messages received for the active player. (Key question: where you the active player when the feature was completed? Can you tell?)
* Robbers (Mini #6 - The Robbers): as the order of scoring may alter who can steal points and from what features.
* The School (The School): as the player with the teacher may get the wrong points to the teacher can go to the wrong player.
Bearing this in mind, you would need to define a house rule to handle these cases:
1) Immediately, as soon as it is noticed,
2) In the next scoring phase of any player's turn
or
3) in the next scoring phase of the meeple owner's turn?
I usually apply case 1) if no side effects are foreseeable, so the affected players get their meeple(s) back right away (normally is only one though). It was a sufficient penalty to play with fewer meeples for a while.
Didn't come across the other situations to talk from experience but they all have their pros and cons:
* Castles: 1), 2) and 3)may help you score a forgotten castle. But also 2) and 3) may allow another player to steal it from you, or at least share the points.
* Messages: 1) and 2) will prevent you from receiving a message you may be entitles to, and 3) may allow you to receive a message you shouldn't be entitle to (Key question again: where you the active player when the feature was completed? Can you tell?)
* Robbers: Performing 1), 2) or 3) may alter the scored points the same as you forgetting to score your meeple a few turns back. If combined with messages even more.
* The School: Performing 1), 2) or 3) may alter the scored points and who gets the teacher, the same as you forgetting to score your meeple a few turns back.
So I would prefer 1) followed by 2) and then 3). In my humble opinion, the sooner the proper order of the game is reestablished the better and minimize any awkward outcomes from the situation.