Hi Sasha. First off, I understand that you are flustered hunny but please mind the caps! Ow!
Unless you have a prior arrangement with the sorting office to leave parcels in your porch or another specified area, or with a neighbour, undelivered parcels should be returned to them for you to arrange a redelivery or pick-up. So I would contact them to see why this happened, and to check. It might be there waiting for you. If it's not, complain. It's none of the PO's business what you are having delivered.
If someone has stolen it, they will probably have discarded it once they realise what it is! If anyone tries to make trouble for you, remember stealing post is a worse thing to do than ordering a sex toy!
If it doesn't turn up, how did you pay? Some credit cards have insurance so you could claim your money back and get a new one, so long as you have not been put off.
Best of luck 