It finally updated yesterday on their tracking website 4 days after sending the item back. I feel a lot better now
I agree ...but its up to them to refund, which they likely won't until they receive the merchandise. I would call them again. There is no way they can be providing shipping labels and don't keep a record of them. I'm not sure if you requested it through their website or if it came in your package already, but whenever I request a shipping label from endless or zappos I am sent an email confirming as such. I would say your ultimate recourse is a charge back by your CC.