You should send a copy of the e-mail (or its message code number if it went though eBay's message system) to eBay (the message where the seller says you should have purchased insurance). That alone might get you the relief you desire. EBay does not permit sellers to tell buyers to buy insurance - all sellers are responsible for delivery of the package.

If the package has been opened during transit, postal insurance would cover the loss. It would not cover seller fraud (such as mailing an empty envelope). EBay's insurance (its buyer protection plan) DOES cover against seller fraud, though.