Here's a couple thoughts:
1. In terms of escrow service...Isn't that what Gunbroker is?
2. Insisting on dealing with an FFL on the seller side helps alleviate some of the risk, especially if paying with non traceable or refundable means.
3. I'm involved in a huge multiparty transaction over on SH that went south big time, which is why I read through this. It's being sorted out now hopefully, but I was worried I had lost a huge sum of money on overpriced primers.
4. It's a seller's market right now and that will draw the thieves.
5. I think insisting on seeing a drivers license with a matching address to where money is being sent to is a minimum requirement for me now.
6. Many states have cyber crime units that are specialised in this. I would research that option.
7. Don't make any threats to him. Just let LE do their thing. It may not be quick but hopefully eventually he will get caught. You don't want the hassle of being victimized by fraud to be compounded with more BS.