Not annoying at all. If amazon itself says the tracking information isn't available, that's pretty normal. Some sellers just don't offer that. However, if the package still says "Shipping Soon" and the tracking says that as well (not "tracking is not available" or something along those lines), is when you want to consider emailing the amazon customer service.
It should still have an estimated delivery date, correct? At the very least, if it passes the last day for estimated delivery, you'll also want to contact amazon.