Whether you posted it or not is irrelevant.
Even if you had a certificate of posting, or paid for special delivery - if he didn't receive it you must refund him.
The contract is between you and the post office as you are the one who posted the item. It is down to you to refund the buyer and claim compensation from the Post Office.
I have thousands of eBay sales and understand the system very well. I have helped many buyers take sellers to court for various reasons, including your scenario.
I think this is not a scammer - scammers tend to use PayPal because the refund is automatic if the seller used ordinary post. Very easy to pull a fast one.
Having paid by cheque it is going to take some effort on his part to get his money back - report to the police, and issue a summons in the Small Claims Court. He will win.