DHL are quite bad; we send out packages to Amazon every week and they head off in the most random directions; sometimes arriving at the hub where they are supposed to go to, only to be sent off in another direction and brought back a day later.
I doubt this is Larian's fault, more likely DHL being DHL.
That said however, Larian should have left the Steam keys out of the CE, and e-mailed them directly to the purchasers.
If you log into the LarianVault page you get your steam-keys there (same way we got our Early-access keys...)