You have to file a PayPal claim within 45 days of the transaction, so if you haven't received your merchandise within 45 days, I'd definitely start the claim process: you can back out of the claim if you receive the item after 45 days.
So far I received all 3 orders I did with Shop.ca, but they are terrible for sending shipment notifications. My first order, I didn't get the notification till an hour after I'd received my item. Second order, they were good and sent out the notifications for both shipments in my order in advance. Third order, I got the item yesterday morning, and have received no shipping notification. Just for that reason, I will probably avoid ordering from them in the future.