I know I've read here about issues with tracking when you order online via Pick a Brick and I've experience this myself many times. Most recently every time I put in the tracking number it just said it couldn't find it. So I reached out to Lego Customer Support to just double check all was well and also give some feedback about the DHL site being spotty at best (I've had it so that you put in the info and it says couldn't find it, hit refresh and magically it works). So the nice person wrote back and said they would pass on the feedback but also they gave me a different DHL site that seems to work: http://webtrack.dhlglobalmail.com/
Also they helpfully pointed out that once it gets to the USPS you can use your same tracking number at the USPS site (which has plenty of issues itself!). But that wasn't something I had really considered before either. So I thought it best to share this with others who may be frustrated at the terrible DHL tracking website that Lego uses in their emails.