I've lost one shipment, the Al Green, with the result of me cancelling the subscription (it was my first record). Rejoined when I got the offer of one free record. This time the shipment arrived. In my case PostNord took over from DHL once it arrived in Sweden, but I never got a new tracking number. I think the best way is to follow the DHL tracking until it arrives in Sweden, then wait one week and contact PostNord with the details and hope for a new tracking number.
I don't really enjoy the stress of checking the DHL status all the time to make sure the record isn't being sent back to the warehouse. Which kind of defeats the purpose of a subscription service.