Contrary to popular belief musicians tend to suck at doing basic things most able-bodied humans can do (I.E. - ship packages in a timely manner, get haircuts, abide by the morality they preach, go to the dentist, etc.). If you've already reached out to the band and got no response file a PayPal claim (assuming you used that to pay, always use that to pay) and let them sort it out for you.
It certainly does suck when you want to support a indie artist or label directly and they're too incompetent to hold up their end of the bargain. Yeah, you can get busy doing either, but not busy enough to where you can't print a label and tape it to a mailer lol.