I've had things delivered to the wrong address several times - including orders from Newegg shipped via UPS.
The last time it happened was about 8 months ago, and if I recall correctly Newegg filed a claim with UPS. They told me I would be refunded (or I could have another item sent) after that claim process hit a certain stage/completed, which would take roughly 7-10 days. I went the refund route and just reordered it hoping to get my money back later. Sure enough, a week or so down the road my account was credited with the refund.
Other times I've *not* gone through Newegg, and argued with UPS directly but their policy frustrated me, honestly. After running in circles with a representative for about 30 minutes they suggested that instead of having packages delivered to me, I should go to the shipping center (an hour away or further) to pick them up in the future.
I hung up on them and went door to door. Sure enough a few places away from mine, a neighbor had taken it in and never informed me that they had it.
Anyhow, yes, it has happened to me, and Newegg was pretty good about it.