Is it legal to not make a refund to a customer if the seller has not sent the goods to the buyer?

IF the company received the payment from you, they have to either provide the goods you purchased or return your money--there are no exceptions. The law does not permit them to keep the money without providing what they agreed to provide.

However, if the money was not in fact ever received by them, they clearly do not have to return it; so if it was intercepted or stolen or misrouted, etc., they are not responsible, with the following exception--

If it was their employee, they would be responsible for his or her stealing money in the course of his or her employment (they'd have to return your money, but then could sue him or her to recover their outlay).

From what you write, this may be a factual dispute--it appears that the company is disputing that it received or acknowledged receipt of the money.

Clearly, if you believe that they did receive the money, you could sue them and try to prove that and receive a judgment in your favor.