Very funny, I said return label. It is an expensive package. And yes now I know I should have walked in the ups store and gotten a receipt. I have never had an issue with UPS and the drop boxes are there for a reason.
No scan on the package = it never entered the UPS system. The driver picking up the box scans each package as they are taken out of the box. If the label somehow fell off the box within the drop box, the driver would have seen it. It's very unlikely that the package missed the driver scan, missed the origin scan at the building and then missed all subsequent scans within hubs, at the destination and at delivery.
In the remote possibility that the package got in the UPS system with no label on the box, it would get sent to overgoods pretty quickly and then photographed with a full product description (color of item, serial numbers, etc.) entered so anyone calling in looking for the item could simply provide the info and the item would be found pretty quickly.
If the company sent you a return label, that means they paid for the shipping and any excess value declaration so it's out of your hands and on them to file the claim. Again, no scans anywhere likely means no claim paid.
What was the item?