Bad show indeed..
I'd push the PayPal route, just email them copies of all the Thomann messages and correspondence. You might be able to contact dhl for clarity too. If necessary you might need to report it to the police as theft, I'd tell Thomann and particularly dhl that you're intending this as well.
You've done your bit and other than the pick up itself you have a virtual paper trail of the whole thing.
When my return was collected it was the same guy who delivered it and I recognised him from previous delivs and chatted to him, he's the local dhl driver so didn't have any concerns there.
As regards mine, I had an email from Thomann a couple of days ago saying they'd received it back and it's being processed. If I don't hear in a few more days I'll give them a prod as regards refund.
Your case is very concerning of course and I think you'll have to be fairly pro active in chasing all concerned. I do wish you luck with it