Was it an eIS order or domestic? If eIS, check that it was delivered to them and it wasn't just on it's first leg to the hub.
Since they've already opened a case it ties your hands regarding your ability to help them. Update the tracking number in the case (yes, I know eBay already has it, but you have to put it in again). You should be protected since you have tracking that shows delivered. It's one of the seller protections we get with eBay. I would still tell them to do most of the below stuff anyway.
Normally if they haven't opened a case yet, I show them a copy of the shipping label and ask them to verify if the address is correct (you'd be surprised). Tell them to check around the outside of their house and check with neighbours to see if it went to the wrong house. Tell them to check with the courier and/or open a missing item request and see if they can find it (they may have GPS co-ordinates of the scan which can tell them if they dropped it off at the wrong place, and the delivery person may remember where they hid it if they put it someplace unusual).
