Parcel goes missing at The Courier Guy Depot - issue is now going cold...

We were ****med on Facebook Marketplace which is one story, but the Courier Guy is another story. We sent the parcel with The Courier Guy and when the parcel was returned back to the depot after it was sent out for delivery, we called to find out what was happening, and they advised it was a ********** transaction and they had turned the package back to the depot. (which at the time we were most grateful for). We were told we could collect the parcel at their kiosk in Kya Sands at their Depot as it had been returned to the depot. When I got there to collect, there was no parcel. The parcel has now gone missing, there is no POD that it was delivered, and no one has an answer. It still shows on the tracking that it was returned to the depot. After now 3 days, they can't find the parcel. We believe it has been taken by someone at The Courier Guy depot. This now makes us question, is The Courier Guy a safe courier to send your goods with? We have been told now to go to the police to lay a case. But surely there has to be some responsibility from The Courier Guy for this issue.