Was the item a really cheap item that was normally expensive? As in, you got a real bargain? Was it coming from China? If the answer is yes, you've been scammed. Open up a dispute for item not received through PayPal and then escalate to a claim as soon as it allows.
Reporting to "consumer affairs" is going to achieve nothing. Open a PayPal dispute.
The eBay dispute was probably closed because you didn't ask them to step in and help. If neither party does anything, it closes.
