Hopefully if they just sent a message & not INR claim, they will be happy if you send a replacement asap.  I also send most orders large letter and accept that on the odd occasion things 'might' go missing.  If it's only one in 200, don't stress over it 🙂

In such situations (fortunately I've only had a handful) I send the buyer a photo of my original receipt with a note, explaining I am including the photo just for their peace of mind, (shows that you are honest & their order was in fact posted), I ask them to check with neighbours & also at their local PO (as I use padded envelopes - in case it didn't fit in their letter box) and I confirm that if it still remains 'lost in transit' I will replace.  It is amazing how often the item turns up the next day !!  That said, there are genuine cases I'm sure.

I do all my own postage labels & do a second copy in list form which I take to the PO - they stamp each address on the list and attach it to my receipt, so I have proof of postage and that is what I send a copy of to my customer (with other buyers names & street addresses blanked out of course).  I have been told by paypal this is sufficient proof for them, but depending who you listen to, some say it isn't good enough for ebay as you must have proof of delivery, but at least I have the proof of posting to send to customers, so I sleep a bit easier knowing I can prove my honesty 🙂

Hope this is some help & hope you don't get a defect