Heck No! You shipped it to the address stated on Gunbroker. You did exactly what you were supposed to do. At any time, he could have updated his gunbroker account or even provided you with a different shipping address. How many people do you know who have had their Gunbroker account deactivated? I know of one guy who is regularly regarded as a scammer on a different forum and a convicted criminal who still has a gunbroker account. If he still has an account, the guy you were dealing with must really be a piece of work.
Where exactly did the buyer THINK the ammo was being sent?