A scam on his part? Not too likely, with his good rating and other recent sales history. A weak excuse because he doesn't want to deal with FTF transactions? Maybe, but then it's not his responsibility to make things easier and cheaper for you after the auction is over. He may well be thinking you're the possible scam now - an unrated buyer trying to convince him to change his policy after the auction closed. Bluntly, the onus is on you to follow through with the sale after you agreed to the terms by placing a bid.
Unfortunately you've just learned an expensive bidding lesson. You emailed him earlier in the auction run (as you should have) with a question that he didn't reply to - you could have (actually should have) chosen not to bid because you didn't receive a satisfactory response. You know what happens when you assume....
Is it a reasonable request from you to meet at his FFL to do the transfer through the FFL because you're so close? Sure, but it's not reasonable to expect him to do it, especially when that option was not plainly agreed to prior to your placing a bid. Everything else is immaterial - the new cost from Bud's, the (unplanned) extra costs or hassles to you, the laws and procedures regarding FTF inter-state transfers in IL, yadda-yadda-yadda.
If you decide to back out because you failed to consider all the costs and assumed pick-up options that weren't confirmed before bidding, then be ready to accept the negative feedback for being a non-paying bidder, along with the possibility of fewer sellers willing to deal with you in the future due to your poor feedback. To nuke the seller's good rating simply because he won't agree to your alternative terms after the end of the auction would be a very low and despicable action.