That sucks. But... Grandma bought him his first ring. I bet if he would have paid for his first ring, it wouldn't have gone missing. I paid for my ring by pouring concrete one summer on 4 lanes of Southbound I-45 Gulf Freeway between Monroe and Fuqua with some of the hardest working Mexican dudes I've ever seen. As a result, I've never let it out of my sight. I was majorly paranoid that I was going to lose it in a training area at Fort Knox or Fort Hood or drop it down into the bowels of my Abrams tank never to be found again.
In fairness though, circa 2006, I did lose both my Aggie Ring and my wedding ring for several weeks, maybe even a month or two. I always kept them together so I knew that there was no way they both could have been lost or stolen but, I genuinely had no idea what happened to them. My wife was a little unhappy about me losing my wedding ring. During that era, I was heavily involved with the Hollywood rock music scene. As it turned out what happened was me and my alcoholic rock singer friend had been out getting destroyed so when I made it through the front door at home, I passed out on the floor in the living room. But, before I went down for the count, I had the presence of mind to take off my rings and put them on a shelf in the living room where I would frequently put my keys, wallet, etc. Since I was lying on the floor and out of my mind, I could only reach the bottom shelf. After a few weeks, I happened to drop something on the floor and when I bent over to pick it up, I saw my rings on the bottom shelf. I was pretty happy to have my Aggie Ring back and get my wife off my back for losing my wedding ring.
Good luck with recovering your son's ring. I agree with filing a police report - probably both Military and Civilian.
My daughter Class of 2017 gets her ring in 2 weeks. I made her pay for it. So, I guess I can't complain that she ordered it with a diamond in it. So much for making your first $Million. Kids these days.

She said it looked prettier with the diamond. She did pour a lot of Frozen Yogurt to pay for it so yay diamond.