[mothered]

what do Nike mean when they say they’re doing a carrier investigation to see if they dropped it off at the right address?

They'll cross-check the carrier's records/manifest to see If the driver delivered It to the correct destination.

Are they going to come up to me in person or is it something they keep internally?

The only way you "may" (not will) be Involved on a personal level, Is If the driver decides to call or visit your home asking why you didn't receive the package.

Administration-wise, Investigations tend to trigger police reports and affidavits/stat decs.