Contact them and find out what they mean by 'not received'. Your query is lacking details, so I'm just guessing here, but
a) maybe your documents were not sent in the correct format i.e. envelope not stamped and/or signed, envelope opened, document(s) missing;
b) your transcripts were genuinely lost and not delivered by the post/courier company;
c) perhaps your documents were delivered and WES signed for them, but the package was lost/misplaced in-house, which can also happen;
d) another possibility is that you see 'not received' status on your online WES account, because nobody has actually opened your documents yet, and so the system isn't updated as 'received'.
It is human nature to hope that everything goes like clockwork and our documents are picked up and processed straight away, but unfortunately this is hardly ever the case. WES isn't the most responsive company either, and many people note that it takes multiple emails/online messages/phone calls even just to get hold of them, let alone get a clear answer.
Misplacing your documents once is one thing, but if it happens twice (with no clear explanation), you really need to find out why they marked your status 'not received' before you even think about sending your paperwork a third time.