DealMaker - you're saying he is lying, but you don't know he is lying. Unless you yourself watched him deposit the MO with his bank, then you can't know for certain he did.
There are other possibilities. It could be that the Moneygram system has incorrect information. Or it could be that someone else deposited the MO. I can tell you for a fact there have been employees working for the U.S. Postal service that have stolen items from the mail. I'm not saying that's what happened here. I'm just trying to show you how much of a one track mind you have regarding this issue. You're not even considering other possibilities. It could even be a rogue employee at CampBX messing things up so far undetected.
As an outsider I certainly don't what the actual situation is, but I do know you don't have enough factual proof to say the things you're saying. You could be absolutely right too, of course. As I said I don't know. My advice is contact Moneygram and cancel the MO as advised in the email, that way you get your money refunded and can go from there.