Here's another thing I should have added in my first post...
You did ship to the address that PayPal provided, right?
If you shipped to an address other than what PayPal provided you, you're out of luck.
If it were me, here's what I'd do:
Explain to the buyer that the tracking number shows it was delivered. Confirm with the buyer that the address you shipped to is their correct address. I've had buyers that moved and then didn't revise their address through PayPal (which isn't your problem). Suggest they check with neighbors to see if one of them may have taken it for safekeeping. Give the buyer a description of the package, especially if the box is something other than a plain brown box.
I once shipped an item in a diaper box...yeah I know...real classy! (insert laughter here

). The buyer said they didn't receive it. When I gave him a description of the box, he told me he had it all along but thought it was a package of diapers and didn't open it.
You could also suggest they contact their local FedEx driver to confirm they did indeed drop off a package at their front door. If the buyer feels it was stolen, suggest they file a report with their local law enforcement agency.
Since you didn't print the label through PayPal, make sure you upload the tracking number to PayPal if you haven't already done so. You can do that by logging into your account and clicking "Details" next to the transaction. There is a link in there that will allow you to upload the tracking number.
You could then call PayPal during business hours and they will advise you on anything further you need to do. As long as you followed
all the guidelines of PayPal's seller protection policy, you should be covered.