Not from London (30 miles away south) but it wouldn't hurt to contact the Citizens advice for advice. They may be able to push you in the right direction to find out where to get confirmation as to whether the letting agents is a real company. The following site will allow you to communicate online:
Kensington and Chelsea Citizens Advice Bureau
Also, consider raising your concerns with your bank.
NOt from London either - but I heard a radio programme a few months back where some "agent" had taken deposits from various people for a flat in Chelsea. They all turned up expecting to take possession of the flat - and it was a scam.
Not saying that this is what is happening here - but you do need to check it out ASAP and see if your bank can get your money back for you if so.
I agree with the above post - Citizens Advice would be a good move.
I live in West London so could help you out. Send me a private e-mail...