If a company messages you this it usually means that it's in the process of being delivered not literally in the mail box :)

Normally, "it's in the mail" means that it's been posted but not yet delivered. This expression has a bad reputation, since many companies and some individuals use it as an excuse when something has not been delivered and is late. Before internet banking, it was a such a standard excuse for late payment, the non-arrival of a cheque, that the expression became a bit of a joke. But here it seems your vlogger is putting a twist on that joke, using the expression to mean "it's arrived in my mailbox"; very amusing ;)

That is a difficult question, because it can mean both. If you phone a company and ask where your item is and they tell you "it's in the mail" it means they have already sent in and probably cannot update you on when it will be delivered. In the phrase that you used it sounds unlikely that if it was "just ordered" that it will already be delivered. But then the person says "I have to go get it" which sounds like they either have to go to the mailbox or the post office to get it.