I also went in for a regular exam at 12 weeks and they couldn't find a heartbeat. They also did an ultrasound and the baby didn't have a heartbeat and was smaller than when I had the regular ultrasound just after 9 weeks. I was giving the same options as you and chose to wait to miscarry on my own. I did so within just a few days. My OB called me about a week later to check up and since I had already miscarried just wanted me to have a few blood tests to make sure that my HCG went back to zero. I went twice for blood work and then just took a pregnancy test a week after the last test and it was negative.
As for additional ultrasounds, none were done. If your baby was measuring at 8w6d and no heartbeat was detected, the baby has already died. The heartbeat is discernible via ultrasound around 6 weeks. But, you can certainly ask for them to check again.
I am so sorry that you are going through this. Having been in your exact position, I understand what you are going through.