The items are delivered by mail, and that mail often takes forever to arrive, or may not arrive at all until you log out and back in.
Try changing maps, or log out to the character menu and back in. If that doesn't work and they still haven't arrived contact Support and ask them to help.
Since they're attuneable and, presumably, not yet attuned (they would be bound if they were), is it possible they just don't show up in the Furnishings section of your inventory? It's been a long time since I attuned a set, but I know you need to go the the place in the world where the set you want to attune to is located. Then you need to "use" the attuneable station. Maybe it's listed in Slottable Items (or somewhere else) before being attuned?
Since they're attuneable and, presumably, not yet attuned (they would be bound if they were), is it possible they just don't show up in the Furnishings section of your inventory? It's been a long time since I attuned a set, but I know you need to go the the place in the world where the set you want to attune to is located. Then you need to "use" the attuneable station. Maybe it's listed in Slottable Items (or somewhere else) before being attuned?