Lenny,
On the base you are currently stationed, is there an actual U.S Post Office or is it a mail collection point you take your mail that base postal clerks then take to the PO?
Also, who is delivering your mail to you? Is it the USPS directly to your door or to the mailroom that's staffed by base personnel that you go pick it up or they deliver to you?
Reason I ask is if it's going threw the base or navy mail clerks you really need to make a complaint to not only the person in charge but your CO via the chain of command, try the Command Master Chief, as this is very serious if your mail is disappearing. Especially valuable items you paid for.
If it's the USPS that is "losing" your mail then a serious complaint needs to be made to the USPS, not only the local PO but call the 800 number too. They will take this very seriously too.
Anyway you cut it this is completely unacceptable that your mail is being stolen. Both will take it seriously and take action.
As far as UPS and the FFL, firearms are required to be declared as such and UPS insurs automatically up to a certain dollar amount. If someone stole a firearm it's a federal crime and I'm sure the sender is following up. No excuse for you not to at least get your money back on that one.
I hope this problem gets sorted out going forward. It's completely unacceptable your not getting your mail.