chasing it is different to claiming for it when it's lost.
I think what they mean is contact your local sorting office to see if it's there. Sometimes the postie fails to leave a card if you were out and he needs a signature. It's perfectly reasonable to ask you to do this, as you know your local sorting office but they don't.
If it fails to turn up at all 'then' it is up to the seller to refund you and claim from the royal mail