Is there a suggestion that DL did something wrong in this situation? The chain of custody of checked luggage involves the TSA, airline personnel and, at many stations, non-airline contracted personnel.
It's great that this guy thinks that he should have waited around for DL to find his guns but...honestly? By this time this guy arrived at his destination those weapons were long gone. Losing a weapon in the military is very different than having a weapon stolen somewhere between three airports and almost 2,000 miles.
Stolen guns are a law enforcement issue, not an issue for DL to fix on the spot.