Scam involving fake payment demands for parcel delivery

I placed all orders through an app and made the payment in advance. I asked if there would be any delivery charges, and they denied it, saying shipping was free. But when the parcel arrived, they asked for payment again, saying it would be returned to me. I refused to pick up the parcel. Then they started threatening me that they would involve the police and started sending inappropriate videos. I told them that I am already going to the police. Then they hung up the phone and later blocked me. Also, the money was not refunded.