I've been doing this a while, and while it does happen occasionally it's almost always the result of a US warehouse's inventory being off, and most of the time customers are notified when the shipping origin changes to China. Because most Chinese vendors aren't going to give your money back you just accept it as the best solution, although some will offer additional product or other "compensation" as a gesture in such situations.
Frankly, I would be more concerned about the implications of having things shipped from a vendor's US warehouse than from overseas. If a US govt agency raids a domestic warehouse they have free and open access to the names, addresses, and order contents via a search warrant, where a single CBP letter to a single US citizen while "scary" for some is an individual issue and CBP, FBI, DEA, and FDA agents aren't going to be no-knock raiding facilities in China.