I was hoping to hear from you before I replied so that I could give you a less general answer. However, let me start off right away by easing your anxiety.
This is a very well-known scam. You will NOT be arrested. You will NOT be sued. There is NO such company as Zee Logistics. There is NO box of money.
Typically, you've met yourself a romance scammer. Most usually, he claims to be a member of the US military or an American working abroad. He falls in love with you at warp speed and wants to share his fortune with you. Or, you think you are claiming an inheritance. Except that everything you've been told is pure nonsense.
None of these agencies really exist. None of these certificates are required. The British government has no jurisdiction in the United States and couldn't arrest you even if they wanted to. Since you committed no crime in the US, the US government couldn't arrest you either.
All of these confusing, utterly preposterous requirements are simply ways to keep you paying and paying and paying and paying and paying for money that doesn't even exist!
You can get an idea of how popular these delivery scams are here.
Cease contact with all of these persons. Nothing bad will happen to you, no matter what they threaten. They are not real. You're the victim of a crime.
Report the fraud to your police, to the FBI at IC3.gov and to ActionFraud.police.uk, because the money you have sent to claim your "parcel" is gone forever unless/until law enforcement can find these folks and bring the to justice.
If you're not sure whether to believe me or not, you can reply here on this question thread and give me more information about who is sending you this and why. But I can tell you that it won't change my answer. International shipments don't proceed this way.