I wouldn't worry about it too much. Mail gets lost every now and then. I prefer to do all my online gun-buying by emailing a scanned copy of my C&R to the seller and paying with PayPal if possible. That way, everything is instant and I have documentation via email and PayPal leger that everything is paid.
And before anyone chimes in about how PayPal does not allow gun buying, yes that is the case, but as long as you don't mention anything about buying guns, then PayPal won't do anything. And should someone take your money via PayPal and not send you your item, you have proof of payment and can report it to the police/file a lawsuit against your seller.
On the other hand, when I sell something, I also prefer PayPal so nobody can say that they sent money and that I took their money but didn't send the item. With PayPal, you have proof. And when I send something in the mail, I get tracking so that I have confirmation that it arrived at its destination.
I've bought/sold hundreds if not thousands of items online and have had 4 incidents. 2 were people who won items I sold on eBay, but failed to pay. I just used the eBay resolution center and got the seller fees removed. One time, I shipped 12 ammo cans to someone and USPS damaged the package and lost one of the cans. I gave the guy a refund for the lost can (he didn't expect any refund, but I did so anyways because it was the right thing to do and not his fault that he paid for 12 and only got 11). The last incident was when I was stupid and sent a paracord bracelet in a regular envelope and the USPS sorter tore up the envelope and lost the bracelet. I simply sent the seller another bracelet.
As for your C&R, if someone gets a hold of your C&R and forges it for their own use, more power to them. The chances of that are remote and a lot of things would have to align for that criminal for it to work out... the wrong person would have to get a hold of your C&R, the wrong person would have to be savvy enough to know what a C&R is and how to use it, the wrong person would have to forge the address and use it to get guns shipped to him. Very unlikely. With Christmas just having finished and snow pounding the country, your check/C&R is probably either severely delayed or lost and I wouldn't lose sleep over it.