What happens if a firearm is shipped to a non ffl holder?
Reality, is probably nothing. But you could be that one unluckly soul, where the package breaks open on the shipping dock, or you tell someone and they use it to blackmail you, etc. etc.
There are some limited cases to send firearms not to an FFL, as listed above, but in general the extra bucks and inconvienence is just the price of being honest.