A buyers perspective:

Even if insurance was offered, the seller must be able to prove that the item shipped or he should issue a refund. I think this is why many sellers request signature or delivery confirmation at a certain dollar amount.

This is why I always pay by credit card. My next step (as a buyer) would be to notify my credit card company and get my money back under the online guarantee, notify ebay under the fraud alert provisions, and then I would leave negative feedback for non-performance.

You really need to make this right.