UPS asking you to open a case with Valve is normal. You didn’t pay to ship it, Valve did. Even if it is a line item on your invoice it was a contract between Valve and UPS, so you can’t call up UPS demanding investigation/money because it is Valve that gets the money not you (who in turn refunds it to you).

If Valve gives you the money back they are likely taking a loss on it to keep you happy. As far as UPS is concerned they delivered it (presumably with photographic evidence), so why would they pay up on insurance. Unless Valve pays for the higher level of insurance UPS won’t cover for porch pirates.

It is unlikely that Valve paid to have that level of coverage, but that is because they know only a small number of packages will be stolen. It ends up being cheaper to just give a few refunds than it is to pay for the higher level coverage on thousands of packages.

Hopefully that is the case on how Valve handles this and you get a replacement or at least your money back. Good luck!