Should I contact the Police?

I was at work on that time where are many cameras. Me and sender filled out forms and I got this email from DHL They didn't leave any delivery notes or anything else I also asked at local post office. I called customer service many times, first 2 times they said that they can see it as delivered and I just need to look for it and later they told me to fill out that form.

I want to go to the Police because it sounds like a fake signature. It's impossible for neighbours to take the package. Is there anything else I could do?