I'm not sure what the CT laws are, but I am aware of no federal laws that prohibit an individual from sending his own firearm to a dealer or authorized repair facility in another state. Some dealers are assholes and only accept from other dealers. If that is the case here, you should have cleared everything through this guy first. Technically, the seller should have requested a signed copy of the FFL before sending it. That also would have sent flags up if your dealer was going to pull this crap.
If he doesn't accept it, fine. UPS will have to return it to the original sender, and that isn't a problem. If, on the other hand, your transfer dealer signed for it and the delivery was completed, he's stuck with it. He could send it back to the original shipper I suppose, but it sounds more like he is holding your property and refusing to complete his end of the contract. Check to make sure that there are no state laws preventing him from transfering the firearm, and if there aren't you could file on him in small claims court. This, of coarse, depends alot upon whether or not your state recognizes oral contracts as enforceable. Chances are, if it is only his personal policy he will choose to complete the transfer and avoid court. If not, I guess damages could apply.

Whatever the case, never patronize this dealer again. There are enough good ones out there that don't mind the business and won't mistreat you.
Saleen