Yes, I've had that happen. A couple of years ago one of my daughters and I spent many hours scrapbooking a baby book that my oldest daughter could fill in for her baby. It cost us over $100 in supplies (not to mention our time). We sent it by post (Canada) but the parcel delivery in her area was contracted out. The parcel was "delivered" but my daughter never received it. Fortunately I had insured it when I sent it so at least I got the financial cost back. But we had to make a whole new book to send to her.
Now I always send my parcels insured and signature-required. But it's true that the signature could be anyone's. One I sent was signed by the driver himself and left outside her apartment door!