EE has confirmed that my order was lost somewhere between the EE warehouse and the first FedEx stop. I hope the package thief who nabbed it is enjoying his 2x Hallway playsets. 
Since it's now OOS at EE (not coming back until April/May), I asked them to just refund my account and I'll try to nab these somewhere else.
Update: bought one set at Amazon and got it on Sunday. Now I just have to babysit patiently wait for EE to process my refund. 
OMG - Jeff! This EXACT same thing happened to me. I had bought four of them from Amazon and I kept the fifth one I ordered from EE because of their Mint-Condition Guarantee. Thankfully one of the four I got from Amazon was in MIB shape, I just kept that one in package and was awaiting my EE order to finish the four-walled hallway.
Anyway, I spoke with EE on Friday asking what was going on with THREE of my orders - the hallway being the worst offender as it supposedly shipped on January 19th and *STILL* hadn't arrived.
They told me the same thing they told you - that my package was lost and that they would have to file a claim and send me a new one. I agreed to that at first and then the woman said "we expect to get more in May" - and I was shocked at how casual they were over the fact that I had been charged for something, that is questionable as to whether or not it even shipped and now they were going to make me wait three months for a replacement to ship.
I told her to give me a refund instead and while I was waiting for her to process it - I ordered one more off Amazon, it arrived Sunday and now my hallway is complete.
I am actually worried about my two Black Series cases that shipped on Feb 1st and Feb 6th respectively - neither has had ANY shipping update and if they tell me that the same thing has happened with those, I honestly don't know what I'm going to do.
I thought maybe BBTS was a suitable alternative and I'm *STILL* waiting for my third wave of Black Series 40th Anniversary ESB figures - I keep worrying that they are just going to cancel my order on me with the explanation that the "vendor will not be shipping them any more".
I have been a customer of EE since the 90s and in my opinion they have REALLY gone down hill in the last two years. Does anyone know if Jason & Aaron sold the company and got out of the business or something? Cause back when they started EE - the company really gave a damn, now they just don't seem to give a ****.