Oh yeah definatly ring and check.
We had one instance here where we had been waiting on a parcel for about a week. They always leave them on our front step so I was starting to think that maybe some one had come along and taken it.
Anyway a friend came to the front door, we always go around the back as do most people who pop around, and I went to open the security door and out fell one of the "please collect" slips. They had folded it up and slotted it down the side of the security door so even though we had had our big door open a few times, to let the breeze in, we never saw it there. It had been sitting there for about 4 days!
NO IDEA why they couldn't put it in the letterbox, that at least gets checked regularly.
Anyway migt be a good idea to ring and check

cheers
Alexandra