Firstly, presuming the info you’ve shared is accurate (and anyone who reads the thread objectively will most likely believe you) haven’t been scammed - this is robbery, simple.
If I posted someone a watch with payment after delivery and the recipient stated that they received an empty box the package was either tampered with en route by a DHL (in this instance) employee or the recipient removed the watch and then claimed that the box was empty.
You need the cooperation of the recipient to determine which of the above two scenarios has occurred. Is there any evidence that the package was tampered with en route? Examining the package should help determine if it was opened before delivery. Is there any video evidence of the package being opened by the recipient revealing an empty box? As an aside I now ask the courier to wait while I open any package that I am concerned about after I received an empty box that was supposed to contain a watch.
Talk to DHL and ask what they need from you and the recipient to make a claim, assuming the box was opened en route.
If no success with DHL you clearly should contact your local law enforcement agency, if you haven’t done so already. Regardless of who perpetrated it you have been the victim of a crime. It’s an awful feeling, particularly for you as you acted in good faith and took a chance with someone.
Best of luck with it.