[Kilra]

Or you can just not pay it...after all you did not receive the package...right?

I don't know what the consequences will be.
After all, I live in Germany, here they approach things a little more seriously.

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Just don't pay. They'll delete your account maybe but whatever?
Their options are:
They keep sending boring emails to you, you deny delivery.
They might send you letter, but it has to be official one, then you can reply the same answer official and again deny delivery. Might even point them at certain consumer rights.
They might sell your 'debt' to a collections office. But the more I think about it, I don't think collection offices are interested in DNA's because it's even harder to prove for the collection office. Hehe suckers. These collection offices are a legal kind of social engineers tho, aimed against the small guy, and will bluff and lie to you, harass you with emails, calls and letters. And the papertrail it might leave on your name is not so good, it's sloppy SE.

I never dealt with the collections office, so I don't know how the process will look like.

Need to do some research on that.

Did you attempt the SE on a fresh account or you had orders before? Have you done DNA on Zalando on the same address/name/CC/account before?

I have an aged account with a few orders.
About a year ago, I attempted a PEB that failed using the same account and payment method.
I thought that the time and the number of orders made in between would be sufficient.
I guess this could be the reason it failed.