Here's a tactic I use for bad buyers claiming that they never received anything. After a friendly chat about waiting, asking neighbors, and whatnot without resolution, I play it cool and write them back with: "In case your mail carrier or whomever at the post office is involved with the theft of this coin, I'll be filing both a tampering/rifling report and stolen report with your local ABC post office. I'll be calling your local post office tomorrow and talk to the carrier's supervisor to investigate the matter further. I'll file a stolen item report with the ABC Police Department along with an item description and item ID to help you retrieve the coin." Lo and behold, soon afterwards, the coin is miraculously found. Note that none of what's written is a bluff, as you can literally follow through with the steps you've outlined.
Just a bit of follow up. I left feedback for this guy saying that he twice claimed item not received, and shortly after another person who sold to him wrote to me to ask me about it, because he had also recently had a case opened against him by this buyer.