Do I have to mark "not received"?

Yes, otherwise you risk a suspension for "not activating won gift".

So I marked "Received" because I received something

According to the rules, all wins must be activated on the winner's account.
By marking the game as "Received" you acknowledged that you indeed received and activated the game you won to your Steam account. When we see the "Received" mark among your wins, we assume you've received the game, and if we don't find it on your account, you get suspended for violating one of the basic site rules which I quoted below:

any Gift you receive is for personal use, and must be activated, or redeemed by the Steam ID associated with your SteamGifts.com account. The Gift should not be used for other purposes, including by not limited to, trading, selling, or regifting.
Winners should correctly mark their gift as received or not received within one week of the giveaway closing.

Moreover users may report and blacklist you if they notice your unactivated wins