To your three questions, a short reply this time (!):

* The W-9 is a form banks or brokers use to collect information they are required (by the IRS) to obtain. The W-9 is not submitted to the IRS, but the information is used to prepare a form 1099 (report of interest income, for example) which is sent to the IRS after each tax year.

* Yes, your identity will land in the IRS' computers, when the 1099 is submitted. (If you completed the W-9 in 2009, it is probably already there; if you did so this year, the IRS won't know you exist until early 2011.)

* Yes, urgent in that you are always far better off going to the IRS to explain your error than having the IRS find you.

I would remain concerned more about the FBAR penalty than the tax returns, unless you are talking about decades' of non-filing. My two centimes' remains the same: you need to have a candid discussion with a US tax accountant (or a US attorney) so you can balance the cost (of disclosure) against the risk (of the IRS finding you).