OK, I wasn't going to chime in, but I have to chime in against all the people stating it doesn't take that long for a letter/package/whatever to go through the USPS. First, I ran an online retail business for 15 years and before I sold it/moved on we were doing over 10,000 mail orders a year.
I can 100% tell you that the USPS (and UPS, FEDEX) can totally screw up the delivery of letters, packages, priority mail, registered mail, etc. Almost all of the issues we had were with delivery. Often the USPS would even mark items as delivered and they would show up returned to us weeks, sometimes even YEARS later. The majority of their equipment is automated and not 100% of the items handed to them make it to their destination ever, let alone on time.
Now as a business I had to refund and eat many orders that were ruined, undelivered or just lost by the USPS. I would say it was a weekly problem with them. We used printed labels and tracking numbers on every item and still we couldn't get items delivered or found once they went off the grid.
So, should FUN have sent the check via priority mail with tracking, of course, but that would have required them to go to the post office instead of just putting a stamp on a letter and usually letters make it. However, it is totally possible a hand written letter, or even printed letter has gone missing.
Op, I feel for you. However, you did refuse to pick up the game that was sitting at the dock after it was shipped to you and started demanding a refund before that game was returned to Stern (this never went through Fun, it was dropped shipped). Even when I ran my business I absolutely required items to be returned before I would refund money, just too many scammers out there. Also just so you know, returns from shipping terminals, or even just packages returning to the sender through the USPS take WAY longer than the original shipping. They send them back in any open space, it would often take weeks to get a priority mail package back to me from a customer that entered a wrong address.
OP I really hope you receive your refund and I hope FUN handles these types of issues better in the future.