Heritage/Rough Rider revolvers have been around for quite awhile. I have various versions for the kids to plink with, to keep around the barn for snakes and critters and on the UTV and tractor for the same reasons and haven't had any issues with a single one.
I don't think you were scammed, I think you received a lemon and since it is a serialized part, it will take awhile to get back to you.
Plus you introduced a extra step in the process, you had Dunhams handle the return. If you had contacted Heritage thru their customer service department, you would have probably already had it back.
I never trust a retailer to handle a service/warranty issue, these days most big box employees can hardly find their way to work, then combine that with a employee shortage on most fronts, it's going to take time.
You are a victim of a series of misfortunate events, you haven't been scammed, there was no nefarious attempts to take your hard earned money.
So calm down and call Heritage, give them your serial number and kindly ask for an update on the progress of your revolver.
The sheriff will not be able to help you, you paid Dunhams for a product, it was defective and returned to the manufacturer for service, they can take an indefinite amount of time to make it right in the name of safety. So I wouldn't even attempt that journey or you may never see the pistol again.