1. Am I in trouble?
2. How can I get my money back if the seller doesn't cooperate?
3. What happens next?
1. You're not in trouble.
2. If the seller doesn't cooperate, you'll have to sue him. Whatever "agent" is involved in recovery will no doubt follow the paper trail back and try to find the one who stole the gun in the first place.
It would, by the way, be pretty dumb to "lose the gun" since it's already established that you received it. That would get you into trouble.
