Just request a refund if you don't want to follow thru with the transaction. You have that right. You haven't received anything from that dealer yet you have paid for it. Doesn't matter how you guys got sideways. He can't keep your money if you want a refund. Nobody cares what the rules are about receiving FFL's personally contacting a seller so they can ship. All that needs to be said is I want a refund. Regardless of ATF rules, if a dealer won't refund you then he shouldn't be in business and won't be for very long if he conducts his business in that manor.
Send him notice using return receipt mail that you want a refund. Be specific as to method and last day that would be acceptable. Don't threaten him in any way. Let him figure out what he needs to do to avoid litigation or possible investigation by his bank. If he has an IQ above 100 he'll figure it out.