In the past few months, anything I've ordered from across the border is taking a noticeably longer time. Unless it's something that's been shipped with express options, a "normal" order from Canada is taking about 4 weeks to get to me.
Usually I wait 4 weeks-1 month before contacting the seller. I ask them to confirm it was shipped on the day it says, and ask if there is any tracking. If everything sounds good, then I'll still wait another week or two before requesting a refund. Unfortunately it seems I've had more things get lost in the mail in this past year than prior years, sometimes even with tracking.