[bunnyslippers]

They literally told me that I am responsible.

"As mentioned, after successful delivery by DHL the transfer of risk is complete, which is why it is up to you to take action."

???

Reiterate that the delivery wasn't successful, as you never personally accepted the item, so they're still entirely responsible for handling the situation. Not sure where you're from, but I've found citing various consumer protection laws usually helps speed things along.