Not pissed, just disappointed.
Were this a regular business, they'd be obligated to make it right. You pay Company A to provide a product. Company A works with Carrier B to make that happen. If it doesn't, Company A still owes you what you paid for. The failure of Carrier B is between them and Company A--not your problem.
That's why if you report something like that on Amazon or other normal businesses, they refund or reship the items to you. The onus isn't on you to figure out what happened. Of course, if they think you're abusing it, they can drop you as a customer in the future.
Now, given the nature of their business, I wouldn't expect the source to necessarily provide a full refund. But they already do re-ships if stuff is lost/seized, items are missing, etc, so it seems like this should fall in line with that. Short of that, some sort of significant discount to re-order the same thing would be nice (which other sources have done for me in the past--USPS around me super sucks and loses shit all of the time but marks it as delivered).
Are they obligated to do so? I'd say no. But given that they won't, I won't be using them again. There's lots of sources with better customer service than that.