I would not be in the least surprised if a buyer waited 3 weeks before advising you they had not received their item I always allow at least 12 working days before making enquiries.

You either send items as registered letters or parcels with SOD or insurance, click & send or some other way that qualifies for seller protection or you accept that you are going to either have to refund or replace without question..... up to you, buyers are never going to voluntarilly pay extra when they have the protection  of Paypal.