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The two packages that i told them DNA, i picked them up myself from the store where they got delivered.
If i file a police report, wouldn't there be a chance that the police would check the cameras?
Located in Europe btw

You just fucked up.
I don't think that you should claim DNA at a pickup point because they would require verification from the recipient in order to guarantee that the item does not get taken by mistake. I'm pretty sure there's a high chance that cameras would be put in place to monitor the area. The whole basis of DNA is that you as a customer had never received the item whether someone had stolen it or if it had simply not been delivered to your address. Return the items and cancel the dispute if you can before anyone becomes suspicious. You should have gotten it delivered to an address instead of a pickup. My two cents

agreed. please use common sense and don't just pick a random method you read about and just use it like a cheat code thinking it will magically work. you got to think and make a plan beforehand.
if u need help, ask here before you are doing something and people will most likely help you.
Also as you seem pretty new to this im gicing you a heads up: Do not ever SE private persons. Scamming individuals is super scummy. stay with companies which are not hurt by losing some products every year.

Alright understood...
How can i possible do this return now, since i've said that i didn't received my items?
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Say it was a mistake and you didn't realize they were delivered to a pickup area and you didn't realize you got them until you opened the box