I am undecided it makes a distinction whether or not it is naturally occurring or not, as a result of the true limiting issue is that the density needs to be measured at atmospheric strain. And osmium is the densest identified substance at atmospheric strain, no matter whether or not it is naturally occurring or artifical.
There are issues we are able to create in a lab denser than osmium, some considerably so – such because the plasma you linked. We simply cannot even maintain them for sufficient time to even observe them with out specialised scientific gear, a lot much less stick them in a USPS flat fee field.