"Lost" means something whose location is unknown.
Lost mail can have been lost in many places - stuck to the side of the mailbox it was posted into, dropped from the sack when collected, lost in the van driving it to be sorted, lost in the sorting office, dropped from the sack as it was taken out of the sorting office, lost in the van as it was driven to your neighbourhood, stuck to the side of your mailbox, stolen from your mailbox, accidentally put in the bin with the junk mail that morning...
The Post Office is intentionally vague about these things for that reason. They can look in specific places - dead letter offices for undeliverable mail, for instance - but they can't look everywhere. They can't even trust the person who says they sent it to have actually sent it, nor the person who says they didn't get it to actually not have got it.
The vast majority - millions upon millions upon millions - of letters every year get to the right place in a remarkably short period of time. You've been unlucky, but you should really be pleased about how lucky you usually manage to be, against some amazing odds.
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