[mothered]

If your method Is formulated accordingly, either/either (never arrived/empty box), no difference.

In terms of performing It online (I assume you're referring to "chat") or email, It depends what you're comfortable with. The latter allows you a lot of time to think things through, hence prepare the next step In a more calculated manner.

Thanks I emailed them. They’ve got back to me and said they spoke to the picker  and confirmed all items were in one parcel.
They have asked for the picture of the invoice in the parcel. Do I send this as normal?

It's expected the picker will say It wasn't an error on his/her end. If It's a busy working environment, there's very little chance those working In the warehouse will remember each and every Item they pick and dispatch for thousands of customers.

I assume you've used the empty box method. If they have a certain procedure In their warehouse whereby (for example) the Invoice Is always generated "after" the Item Is picked and packed, then It'll confirm on their end that the Item was In fact sent. So on these grounds, tell them you also didn't receive the Invoice.