It says delivered and it is not here
Tracking says delivered, the doorstep says otherwise. Until you have it in your hands the risk is the seller's, which is rarely the first thing a shop tells you.
There is a moment at which an online purchase becomes yours, and it is written down. The risk passes when you physically take possession of the parcel, or someone you named for that purpose does. Not when the shop hands it over, not when the courier presses dispatched, and not when tracking says delivered. That rule has been in the EU Consumer Rights Directive since 13 June 2014 and sits in the national law of every member state.
Everything else follows from that one sentence. If the parcel is with a neighbour the courier chose, it has not been delivered to you. If it was left somewhere you never asked for - behind the gate, in the garden, on the step - the same applies. If you picked a collection point yourself at checkout it is different: that is a third party you named, and from that point the risk is yours.
The second point matters just as much and goes wrong more often: your contract is with the shop, not with the courier. The carrier was hired by the seller. A shop telling you to take it up with the delivery company is sending you to a party that owes you nothing. Putting it back to the shop, briefly and politely, is the whole of the answer: the order was not received, and it is for the seller to find out what happened at their carrier.
The scan that says delivered is evidence of what the courier entered. Nothing more. Ask for the proof of delivery: anything of value should carry a signature or at least a photograph of the location, and it is not rare for that photograph to show a door that is not yours. If it is your door and there is nothing there, that is a matter between the shop and its carrier, not between you and your memory.
There is a separate deadline running alongside all of this. Where no delivery date was agreed, delivery is due within thirty days. If that passes, you give the seller a reasonable additional period in writing; if that passes too, you may terminate the contract and are entitled to a refund. See your rights when you buy online for how the refund itself works.
Three things that make the difference. Put it in writing, because a chat inside the shop's own app is gone in three months and an email is not. Knock on next door before you send anything, because that is the outcome everybody would rather have. And take care on a marketplace: your claim runs against the seller behind the listing, which with a seller far away is a very different conversation from one with a large retailer. See who actually sells this.
And finally, something that is not a right but helps anyway: a message asking for a payment to release your missing parcel did not come from the carrier. See that message about your parcel.