Hi, @Sewershop. Great question; Let's look into this!
The main reason that comes to my mind about why this would be, is if the product(s) your customer purchased did not require shipping. There is a check box on your Product page within your admin that allows you to enable/disable this. It is in the Shipping section, and looks like this:
Unchecking the box to indicate that an item is not a physical product is intended for Digital Products only. Therefore, I recommend you ensure that your products that require shipping all have that box checked.
If you have a lot of products, a quick way to do this is via the Bulk Editor where you can add the ‘Requires Shipping’ field as seen below:
In the meantime, I suggest you reach out to your customer via the contact information they did leave (email and/or phone number) to ask for their shipping address. In terms of actually shipping though, this depends on how you handle it for your specific business, but some ideas are:
Let me know if this helps!