The guy delivering the mail didn't take it - why would the package get delivered if he stole it .... too risky.
Can't imagine customs took it as they would take the whole lot and notify you that your 'contraband' has been confiscated ... at least that's what happens in Australia I believe - no idea where you are, but "mailman" sounds like USA.
Total bummer what has happened .... I think it has been knocked off in the receiving country, by a postal worker close to the final point of delivery ..... just doesn't make sense earlier - having said that though, millions of packages flow through postal systems every day so it would be difficult to track everything - of course, there should be a tracking number which might help a bit. I think we have automatic cover up to $100 here ... I don't know what you have and don't know if insurance was an option when you purchased.
Finally, I can't imagine why the original seller would/should provide a refund or replacement (not saying you're asking for such) but on one hand it would make a great goodwill story to assist you - on the other hand, it may open the floodgates for customers to make spurious claims ..... either way, I am sorry that you lost your watch! I am wondering if I will get mine now.