The guy doesn't care about the gun. He cares about scamming you out of the 'overage' that you'll mail back.

Here's how it goes. He sends check. You cash check. Check is going to be drawn against either some Caribbean fuck-shack bank, or an African version thereof. Banks are legally required to make funds available X hours after deposit, even if they know it's going to bounce eventually. You send him some portion of the amount back. The check comes back as invalid/stolen/insufficient funds, whatever. You are now out the entire value of the check, including the portion you sent to him via Western Union or other wire transfer.

That portion is non-recoverable. It's same as cash. Dude doesn't care about the gun, it's a scam to get you to cash a bogus check and then send him cash that can't be traced or charged back. Dude just pulled up an FFL from somewhere and gave it to you. He's not in the country, and won't ever pick up that gun. It'll be shipped back to you by the FFL, who will charge you for it.

The loophole is that certain banks take 1-5 days to 'clear' a check (i.e. determine if it's valid) but US banks are required to make the funds from the check available much faster than that.