My pledge status changed to "Shipped" but I didn't receive the package/tracking number. Is there a problem with shipping?

No, that's normal! This status only means that your pledge is part of the currently fulfilled shipping wave and is being processed for shipping. Order statuses on Gamefound are only changed due to invoicing/administrative reasons and don't reflect the status of the package. As soon as your package is ready for shipping, you'll receive a tracking number for it. Stay tuned!