Personally I would say to the vendor if escrow is not an option then can you please just cancel the order. If you FE you give up all your protection and based upon what you have described my confidence would not be very high right about now. If they will not cancel take it to resolution when you are able, the vendor has stated they have not yet shipped your order and you are well withing your rights to ask for the order to be cancelled if they are asking you to FE.