Almost the same thing happened to me with something I ordered off of Amazon. The tracking system (and I use that term loosely because USPS's "tracking" is an absolute joke) claimed it had been delivered. Next day, nothing. Day after that, still nothing, so I called Amazon support and told them I thought the package may have been lost. They sent another identical product to me and told me that if I get two, just refuse shipment on one.
Well, the next day it finally showed up. Couple days later I got the second one so I just dropped it off at the post office and told them to send it back. Yay Amazon.
USPS's tracking system is retarded. They'll mark something as "delivered" when all that's happened is it has arrived at your local sorting facility. Could take a couple more days to get to you but they don't tell you that. It's not like UPS tracking where you can see the "out for delivery" status and know that the box is on a truck heading for your house. So I'd advise you to wait a couple days before assuming it's lost.
Then again, you might want to contact the seller right away so they're aware that there might be a problem. You don't want to wait too long in these situations.
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