Being a former FFL, the receiving FFL does not have to report this because he didn't receive a gun so therefore, he has nothing to report because he was never in possession of it.
The shipping/selling FFL will be the responsible party to report the loss/theft to atf, whom does nothing about it other than to collect the serial number and report it stolen in the federal database in case it ever does turn up so it'll be returned to the rightful owner (which will be the shipping FFL at this point because it hadn't been transferred to you at the time of the theft).
ATF won't do anything else about it.
They don't suddenly break out the gear and go out in search of anything. The national database of stolen firearms is all they'll do.
I doubt you will ever see the gun you are waiting on. Regardless of who, what, when, or where, it happened because it's not where it's supposed to be.
Hopefully, the seller will refund the charges, if not, file a dispute with the CC company. I'm going to assume that it was fully insured so the seller at least won't get shafted to eat the cost of the gun. If not, whoever opted NOT to pay extra for the insurance needs a reality check for taking so much for granted because the world doesn't work like that.