I'd tell em to sod off, unless they wanted to reimburse me expense plus extra to do so.
Threatening you with loss prevention? Seriously? I don't even know how to respond to that. I assume there is a corporate? I'd contact them.
They should have released the gun to you after three days, whether they ever heard back or not. That is the law.
As for delays, might like to consider investing in a CHL if you buy guns regularly. You won't have to do the background check if you have one.
Sent from my SPH-D700 using Tapatalk 2