It must be a certain number of days late before they can even begin the investigation. That sounds more like the ten days thing than that you contacted them and they said it would be there in ten days. Incidentally, you ARE receiving it by direct deposit, aren't you? in this day and time, there's no reason to do anything else.
There are two kinds of missing checks.
The first kind are those that never get cashed, withdrawn, never show up in your bank account (assuming you have direct deposit, which you do, don't you?) These can usually be reissued or reprocessed within a certain number of days.
The other kind is the one you say you never got, but it shows having been deposited. In the case of a paper check, it would be the one that had been cashed. This is a little bit tougher to rectify. Have you notified them again and asked what the issues are, why it has not yet been reissued, when you might expect to get it?
Exactly how late is it now? Are they saying that someone did actually get this check and cash it (if paper)or that it has been direct deposited? Is there some problem with your bank or some issue like that that kept you from getting the next regular check when it was due? In this day and time, with direct deposit of social security checks the norm, the "lost it in the mail" or "somebody stole it out of my mailbox" are seldom heard any more.
