I am a little confused by your transaction. Why did the buyer's FFL fax his FFL to FedEx? I have purchased several guns from auction sites and my FFL always sends a copy of his FFL to the seller's FFL or directly to the seller. While it is not the law there are many FFLs who will not accept shipments from non-FFLs as a matter of policy, maybe because they do not want to give their FFL to a private individual. That could be why the FFL was sent directly to FedEx? The buyer should have mentioned the gun was coming from a non-FFL in the first place.
Unless you can convince the dealer what the law actually is, then it looks like the only alternative is to have it shipped back and re-ship it using your dealer. I'm surprised your dealer didn't offer to ship it initially because he can use USPS priority mail, which is usually cheaper even with his fee than you shipping FedEx overnight.
Who is going to pay to have the gun shipped back? Maybe if it is the reluctant dealer, then he might be convinced what the law really requires and finally accept the gun.