So say your package had been intercepted and the police notified. That's cause to investigate you which includes your bank account right? How do bitcoin purchases from bank accounts appear and what you do with your bitcoins (on illegal sites) aren't traceable are they?
Until some LE obtains the physical server(s) hosting a hidden service, I think nobody knows that those BTC addresses you sent coins to are belonging to DNM wallets.
LE did obtain access to the original Silkroad server and so those of us who had placed orders after the date when the server was allegedly first infiltrated.... we were all a bit worried for a while because of the leakage of knowledge of which BTC addresses were associated with SR.