Seen enough YouTube videos from cameras packed in shipments for the obvious answer...
These boxes are costly enough to justify packaging it with some device that will record GPS, video, and sound. Make sure there is some good cryptographic signature on the device. Attach it to the router, and put a nasty anti-tamper dye spray to boot. (Although might have some regulatory issues with the explosive device for that, hmmm...).
Give the customer a rebate for returning the tracking device. (After unlocking, of course.)
Of course, the tracking device will need solid cryptographic signature/protection, but would have a lot fewer millions of lines of code than the router!
Then the guy you see stumbling out of the FedEx office covered in dye... he's not with FedEx.
The best the spys can do, then, is to "lose" the device in shipment, pay off the carrier's insurance company (otherwise, insurance rates will go sky-high), and then try to sell the router in the black market to spy on somebody other than the original target.