I wouldn't recommend threatening the vendor, but I would recommend letting him know that you haven't received anything and so you will be editing your feedback to reflect that fact. Just state it calmly without threatening the vendor - there's a better chance they'll want to make it right if you don't jump immediately to threatening him. Also, there's not a lot anyone can do for you since you finalized early. Even if they scam you, there's no way to get your money back because you didn't stay in escrow.