I get unlucky. At least the larger markets deal with VAT effectively. I have had a few shipments not due for import VAT held up at customs with a demand for payment I cannot even reconcile to the shipment because of the forwarder's sloppiness, no matter how clearly I fill in the customs papers. I actively avoid UPS now for that, even if they are the cheapest option. It takes MONTHS to sort out with the tax office and you can expect delivery to be delayed for at least a month while that is done.This is a particular issue for me now, thanks to Brexit.
I still get lucky though if the transaction doesn't involve eBay etc.