Phone order never received, but tracking says delivered?

I ordered a new phone but it never arrived, but the tracking says it was delivered. The escalations team told me to file an incident report with FedEx containing the IMEI of the lost phone and email them a photo of my ID and they would send a replacement to the local AT&T corporate store so I could pick it up myself. I did as they asked 6 days ago.

So today I get a text saying they tried to contact me (my phone never even rang) so I called them and the fella told me that I now have to file a police report before they will do anything about it. They never told me this to begin with. The escalations team seems to keep switching up their requirements... This has dragged on for weeks now and I am getting very frustrated. T-Mobile isn't looking so bad all of a sudden...

I cannot file a police report, so what should I do?