If they are international packages (and the format of the "tracking number" leads me to believe that they are), the tracking number will be of no use to you (it's just a delivery confirmation and only works for domestic packages).
Allow up to 6 weeks for international delivery (depending on where the package is shipped to, it can take as little as 10 days).
Also, the tracking number you describe as being a FedEx tracking number (LN110004906US) is also a USPS delivery confirmation number (which means that the package was shipped via US Postal Service and not FedEx).
There is no reason to believe that the packages were not shipped, but if you're really worried, feel free to e-mail Telltale's customer service at
support@telltalegames.com (or you can wait until a Telltale employee spots this thread).