Generally, what I do in these circumstances is contact the seller directly without opening a case and let them know the problem. Just a “fyi - I still don’t have my item, and I’m getting worried” kind of message. You can always open a case later as long as you know the ebay/etsy/paypal deadlines for your items. If you choose “my item didn’t arrive” from ebay’s contact seller options, it automatically opens a case. I choose “other” from the “reason for contacting seller” menu. For Etsy, I just message the seller directly.
Once I contact the seller to let them know, I see what they have to say. 9 times out of 10 they’ll start tracing the package in their end, and if it’s been an extremely long time, some sellers will just offer a refund. Sometimes the seller’s trace will shake things loose. I give the package the maximum amount of time to arrive, I work with them as much as possible, and I keep in contact with the seller. Giving the seller a head’s up before opening a case, and giving the item every opportunity to arrive makes everything go much smoother.
If the seller has refunded, and the item eventually shows up, I make sure to inform the seller and to ask them about how they want me to pay for the the item.