You have 30 days from the expected delivery date given to you when you paid, to make a claim.
When is that?
Your seller is probably trying to stop you claiming item not received by sending you the 'order confirmation'. If you get that and not the set, then you need to open a case for item not as described before the 30 day period expires. If you get nothing, then it's a case for item not received.
That 30 day period is crucial.