my dad was a U.S. postal inspector back when the post office was federal, you'd be amazed at the things that go on*. my dad caught lots of them pilfering mail right at the PO. some of the larger PO's had secret passages in the walls and ceilings and peep holes, and nowadays i imagine they have surveillance cameras that the PI could look at.
anyway, make sure the PI know that it was a 'weapon' being shipped that went missing, that will concentrate them in this modern PC climate. they will want to catch him before the Homeland security gets involved...nothing like a little professional govt. rivalry to concentrate the mind.
*- one of my favourites was a post office in a small town that was combined with a general store (which is why my dad got called as it then was a federal offence to break in), an escaped mental patient had broken in to the store & stole a cheap child's bow and some target arrows. the local cop showed up in response to the alarm that was set off, he positioned himself at the corner of the store, covering the entrance and called for the guy to come out. unknown to him the perp had gone out the back, circled the building, and come up on the cop from behind - he could not resist the target presented by the officer crouched down and peering around the corner & shot him in the butt with an arrow. he was not amused, the cop that is, the perp thought it was hilarious. he was returned to his funny farm (the perp, not the cop).
my dad did a follow-up on him a couple mo. later, seems he broke out again, broke into the local catholic cathederal, stole the bishop's robes, broke back into the asylum & was discovered by the staff wandering up and down the wards in the full regalia, blessing all the inmates and sprinkling them with holy water.
