Rather than cutting up the gun at the gun shop, maybe it would have been better to turn it over to your local cops, and ask them to contact the cops in the seller's locality.

Update: I asked a cop what to do in this situation, and she said "that would be a call to your local pd with all establishing documentation". She also said "(not that it matters) but try not to touch the gun. If he ground off the serial, he knew to wipe it down". I wonder if he might have left some prints on the shipping box though.

Oh well prob too late for any of this.