I had something shipped from California a couple of years ago. After a couple of weeks I looked up the tracking information and discovered it had been returned to the vendor for an invalid delivery address, even though the delivery address was correct. They claimed they could not verify it had been returned and I told them to go look at the link THEY gave me to track it. I contacted them for months about returning my money but they could never verfiy it had been returned to them. I asked them to at least re-ship it and they said I'd have to pay for it again. I don't do business with them now, needless to say. The point is, tracking numbers just help verify that something is really lost, or so it seems. Hang in there!
I recall having a problem similar to yours with the USPS (US Psycho Service). I complianed about non-delivery of a package that had a USPS tracking number; the postal employee confided that the "premium" mail service with tracking numbers was meaningless - they just charge more for the same crappy service.
We've been lucky shipping via USPS, but that's our only option for military packages. Maybe APO addresses get high priority. Now, let's moan about airlines and lost baggage....