The Steelbook is packed separately in the cardboard outer shipping box, under the other items usually. The way I found out was to turn the boxes upside down and carefully dump everything out, lol! That also helped because of how snugly everything was packed, it ended up being the easiest way to get everything out. The Steelbook is in a paper outer sleeve, just like most New Release Blu-Rays.
I’m really baffled as to how you didn’t find the Steelbook, as your Download Code for the game (or game disk if you ordered a console version) is inside it! Without the Steelbook, you can’t even install your copy!