I have just got back from the postbox after putting mine in - and the cost of the stamp - would have emailed it if I had read this before.
I really don't know why they even need to send you the letter - if they are only going to ring you to find out about the missing item then why don't they just sort it out when you call them to say its missing in the first place. I wonder if it is just to stall you so hopefully the item might actually arrive by the time you get and have returned the letter to them.
I agree it does seem to be more and more items are not received these days.