Upload the tracking # to the case file then message the buyer with some polite version of the following adapted to your situation and carrier. Once you send the message, call ebay customer service tomorrow and have them review the case. They will likely close it in your favor.
Dear Buyer,
Thank you for your message. According to ENTER TRACKING # your item was delivered ENTER DATE AND TIME.
If this is not the case, I will do what I can to help locate your package. Please check with neighbors and household members first. Also, check with your mail carrier by contacting your local post office or Fedex center and providing them with the tracking number and informing them that it was not received.
If that does not help, I will be happy to assist you in filing a mail theft report with the USPS/ Fedex. Please send me your daytime contact phone number. Though I can get it from eBay, it is faster if you send it to me so that I can file the USPS Postal Inspectors report if your postmaster or mail carrier cannot document the whereabouts of your package. Please be aware that a Postal Inspector will contact you for more information.
Please keep me updated and let me know if assistance with a mail theft report is needed.
Sincerely,