If you file in small claims court, they might settle. Saying you're going to file doesn't work like that (because people say it all the time and very few people follow though). At most large companies, the script if you threaten legal action is to notate it in their file, refer them to the legal department and stop communication except through legal.

Long story short, don't threaten lawsuits. Just file the suit.

IIRC they have one of those bogus arbitration clauses in their ToC. I told them I wanted them to appoint an arbitrator and now they won't respond at all.

And as someone who litigates for shits and giggles, it can be pretty expensive in Small Claims, about $400 often just to file and do service on the defendant. And some courts won't accept suits that are less than the filing fee. And a lot of the time you can't get back your costs from the defendant either. And.. I'm not sure you can sue the bank for not charging back. I guess the correct process is to sue the merchant for never delivering the merch.