The company I used to work for ( a very well known retailer) did follow up all claims, once the signed non delivery form was received back from customer and it was then taken up with the carriers.
It is surprising where parcels 'went', but follow up they did, and when parcels had been signed for, in those days paper copies, it was taken up with the 'non' recipient. They did always charge back! and argued about it later. But more often than not the 'missing' items were suddenly acknowledged!
Personally I would return, probably getting them to send me pre paid label though :18: