Shipping services are not free? FedEx/UPS pay the tolls, and the shipping fees I pay should reimburse them for that.

Since I live on the Danish island of Zealand, everything transported from more than about 150km away has paid a toll of some kind -- either the bridge toll from the rest of Denmark (and thence Germany), the bridge/tunnel toll to Sweden, or the ferry to Germany.

I'm fine with that. FedEx's lorry will pay 960DKK (€130) to cross the bridge, and they will add that price to the price of delivery.

Exactly - you benefit from infrastructure existing, even if you personally don't drive on every single road in the country.